Price determinants and prediction of bitcoin and ethereum

Abstract

This paper studies the two biggest cryptocurrencies by their market capitalization: Bitcoin and Ethereum. Following the common practice of the existing literature, I select certain macroeconomic variables that are likely to affect their price returns. The model used in the paper is an extension of the Autoregressive Conditional Heteroskedasticity model. The estimations show that the S&P, SSE, Nikkei, Cyber 15, gold and oil price returns are significant for the models, with some of these variables being common for both.