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KCI등재 학술저널

Commodity Prices, Tax Purpose Recognition and Bitcoin Volatility: Using ARCH/GARCH Modeling*

The study investigates the role of commodity prices and tax purpose recognition on bitcoin prices. Since the introduction of bitcoin in 2008, emphasis has focused on economists, policy-makers and analysts drastically increasing bitcoin’s accessibility and commodity values (Dumitrescu & Firică, 2014). This study employs GARCH and EGARCH from ARCH/GARCH family on daily nature data. We measure the volatile behavior of bitcoin by employing auto-regressive conditional heteroscedasticity model with the aim to explore the relationship between major commodities and bitcoin volatility. We focus on major commodities like gold, silver, platinum, and crude oil to be regressed with bitcoin. The daily prices of commodities were retrieved from www.investing.com and bitcoin prices from www.coindesk.com for the period from 29April 2013 to 16 October 2018. Results confirmed the currency’s long-term volatile behavior, which is due to its composition and market dynamics, whereas the existence of asymmetric information effect is not confirmed. Tax recognition by other countries may in future help in controlling the volatility as bitcoin is not a country-specific security. But, only silver impacts on volatility in comparison to oil prices and platinum, which is due to its similar features with gold. Eventually, bitcoin can be used for risk diversification and money making.

1. Introduction

2. Literature Review

3. Data and Methodology

4. Results and Discussion

5. Conclusion

References

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