{"title":"Dependency Analysis between Bitcoin and Selected Global Currencies","authors":"Beata Szetela, Grzegorz Mentel, S. Gędek","doi":"10.12775/DEM.2016.009","DOIUrl":null,"url":null,"abstract":"In this research we have tried to identify the relationship between the exchange rate for bitcoin to the leading currencies such as Dollar, Euro, British Pound and Chinese Yuan and Polish zloty as well. We have applied ARMA and GARCH models to model and to analyze the conditional mean and variance. The appliance of GARCH models have identified some dependency in explanation conditional variance between bitcoin and US Dollar, Euro and Yuan, while ARMA analysis have shown no relations between bitcoin and other dependent variables.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"16 1","pages":"133-144"},"PeriodicalIF":0.0000,"publicationDate":"2016-12-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"21","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Dynamic Econometric Models","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.12775/DEM.2016.009","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 21
Abstract
In this research we have tried to identify the relationship between the exchange rate for bitcoin to the leading currencies such as Dollar, Euro, British Pound and Chinese Yuan and Polish zloty as well. We have applied ARMA and GARCH models to model and to analyze the conditional mean and variance. The appliance of GARCH models have identified some dependency in explanation conditional variance between bitcoin and US Dollar, Euro and Yuan, while ARMA analysis have shown no relations between bitcoin and other dependent variables.
京公网安备 11010802042870号
京ICP备2023020795号-1
分享
求助内容：
应助结果提醒方式：
扫码关注我们
