Corpus ID: 214743257

Time-varying volatility in Bitcoin market and information flow at minute-level frequency

@article{Barjavsic2020TimevaryingVI,
  title={Time-varying volatility in Bitcoin market and information flow at minute-level frequency},
  author={Irena Barjavsi'c and Nino Antulov-Fantulin},
  journal={arXiv: Statistical Finance},
  year={2020}
}
In this paper, we analyze the time-series of minute price returns on the Bitcoin market through the statistical models of generalized autoregressive conditional heteroskedasticity (GARCH) family. Several mathematical models have been proposed in finance, to model the dynamics of price returns, each of them introducing a different perspective on the problem, but none without shortcomings. We combine an approach that uses historical values of returns and their volatilities - GARCH family of… Expand

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