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Eom, Cheoljun; Kaizoji, Taisei; Kang, Sang Hoon; Pichl, Lukas
Physica A, 01/2019, Volume: 514Journal Article
This study empirically investigates the statistical characteristics and predictability of Bitcoin return and volatility. The distribution of Bitcoin returns and volatility display a fat right tail and high central parts. Bitcoin does not show the dynamic property of volatility persistence, contrary to stylized facts in financial time series. Also, the autoregressive model using past volatility does not well work in predicting changes in Bitcoin volatility for future periods. Investor sentiment regarding Bitcoin has a significant information value for explaining changes in Bitcoin volatility for future periods. These results suggest that Bitcoin appears to be an investment asset with high volatility and dependence on investor sentiment rather than a monetary asset. •This study examines the statistical properties and predictability of Bitcoin return and volatility.•Distributional property of Bitcoin shows a fat right tail and high central parts.•Interestingly, dynamic property of Bitcoin does not show the general volatility persistence.•Investor sentiment on Bitcoin has an information effect to predict Bitcoin volatility.•Investor sentiment might play a crucial role in the predictability of Bitcoin price changes.
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