Detail práce

Econometric Analysis of Bitcoin and its 2013 Bubbles

Autor: Bc. Pavel Fišer
Rok: 2015 - letní
Vedoucí: PhDr. Jiří Kukačka Ph.D.
Typ práce: Bakalářská
Jazyk: Anglicky
Stránky: 65
Abstrakt: This thesis examines Bitcoin in 2012-2015 period along with the two Bitcoin
bubbles — April 2013 and November 2013 — using ARIMA, GARCH
and LPPL models. First, we perform standard GARCH analysis along with
GARCH rolling estimation and find that the volatility of Bitcoin differs substantially
over time and that this relation is best captured by GARCH(1,1)
in all studied periods. We also conclude that during the November bubble
the number of irrational traders entering the market was much higher than
in the April bubble which probably caused greater instability on the Bitcoin
market. However, based on Ljung-box test we find these results to be
questionable. For that reason, we present LPPL model and study its key
parameters — power law growth rate β, frequency of log oscillation ω and
its scaling ratio λ — in more detail using standard methodology and “loop
analysis”. We find that the November bubble experiences much faster oscillation
and lower acceleration rate of power law in comparison with the
April bubble. By the end we propose hypothesis that ∆λ serves as a better
indicator of the upcoming bubble crash than simple scaling ratio which we
concluded to be true in our analysis of the two Bitcoin bubbles. However,
further examination of other financial bubbles is needed, in order to support
this hypothesis.




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