Macroeconomic variables’ impact on bitcoin price change

Abstract

Bitcoin is the most popular digital currency nowadays. Despite the fact that it is intrinsically worthless, Bitcoin price is more than $1000. In order to create a model for predicting high price movements of Bitcoin, this paper analyses macroeconomic indicators influencing Bitcoin price change using the ARCH framework. Results suggest that the changes of Dow Jones, SSE indexes and also USD/Euro exchange rate can be used for prediction Bitcoin price change direction.