Realized volatility and price determinants of Bitcoin

Grigoryan, Artur

dc.contributor.advisor	Baghdasaryan, Vardan
dc.contributor.author	Grigoryan, Artur
dc.date.accessioned	2018-07-16T12:59:41Z
dc.date.available	2018-07-16T12:59:41Z
dc.date.created	2018
dc.date.issued	2018-07-16
dc.identifier.uri	https://dspace.aua.am/xmlui/handle/123456789/1552
dc.description	This is a BA thesis work submitted to the American University of Armenia, Manoogian Simone College of Business and Economics, by Artur Grigoryan.	en_US
dc.description.abstract	This paper presents an analysis of Bitcoin Price and Realized Volatility. Particularly, this work is concerned with price dynamics of Bitcoin crypto-currency and examines the relationships between Bitcoin Price and popularity of the Blockchain technology, as well as the relationship between Bitcoin Realized Volatility and overall market volatility measured by the CBOE Volatility Index. The mentioned relationships are considered through the lens of ARIMA and Granger Causality statistical models. We find that an ARIMA(1,1,1) model very well describes the recent price dynamics of Bitcoin and can serve as a solid ground for making future forecasts. Furthermore, we find that there is a bidirectional causality between Bitcoin Price and Blockchain popularity, and a unidirectional causality relationship between Bitcoin Realized Volatility and the CBOE Volatility Index.	en_US
dc.language.iso	en_US	en_US
dc.subject	2018	en_US
dc.subject	AUA	en_US
dc.subject	American University of Armenia (AUA)	en_US
dc.subject	Bitcoin price	en_US
dc.subject	Bitcoin	en_US
dc.subject	Bitcoin volatility	en_US
dc.subject	Blockchain	en_US
dc.subject	VIX	en_US
dc.title	Realized volatility and price determinants of Bitcoin	en_US
dc.type	Thesis	en_US