Bitcoin's return behaviour: What do We know so far?

Fajardo, José (2019): Bitcoin's return behaviour: What do We know so far?

Abstract

In this paper we study the daily return behavior of Bitcoin digital currency. We propose the use of generalized hyperbolic distributions (GH) to model Bitcoin's return. Our, results show that GH is a very good candidate to model this return.

• Item Type: MPRA Paper
• Language: English
• Keywords: Bitcoin, Cryptocurrency, Jumps, Generalized Hyperbolic distributions.
• Subjects: C - Mathematical and Quantitative Methods > C0 - General > C01 - Econometrics; C - Mathematical and Quantitative Methods > C0 - General > C02 - Mathematical Methods; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C58 - Financial Econometrics; G - Financial Economics > G0 - General

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