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Journals / İstanbul İktisat Dergisi / 2023 / Cilt: 73 Sayı: 1

Analyzing the Volatility Dynamics of Crypto Currency and the Occurrence of Speculative Bubbles: The Examples of Bitcoin, Ethereum, and Ripple

Kripto Paraların Volatilite Dinamiklerinin ve Spekülatif Balon Varlığının Analizi: Bitcoin, Ethereum ve Ripple Örneği

Utku ALTUNÖZ
Pages
615–643
Publication Date
2023-06-26
DOI
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

In addition, continuous speculative bubble pricing occurred for all three cryptocurrencies, with much higher bubble prices being understood to have occurred with Ethereum and Bitcoin compared to Ripple.

📌 3 Key Takeaways

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Objective & Hypothesis:This study aims to model the volatility features of Bitcoin, Ethereum, and Ripple, which are the cryptocurrencies with the greatest volumes that have come to the agenda since the global crisis, and to determine the presence and dates of price bubbles.After running the ADF and Ng-Perron unit root tests, the EGARCH model was analyzed as the best for Bitcoin and TGARCH for the Ethereum and Ripple.
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Key Findings & Data:According to the obtained results, negative coefficients for Bitcoin imply that negative shocks will increase volatility more than positive shocks.
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Conclusion & Impact:In addition, continuous speculative bubble pricing occurred for all three cryptocurrencies, with much higher bubble prices being understood to have occurred with Ethereum and Bitcoin compared to Ripple.
🔬Design:Modeling & Simulation
📍Scope:Comprehensive Sample
⚙️Variables:Kripto Para · Volatilite · Finansal Balon

Abstract

This study aims to model the volatility features of Bitcoin, Ethereum, and Ripple, which are the cryptocurrencies with the greatest volumes that have come to the agenda since the global crisis, and to determine the presence and dates of price bubbles.After running the ADF and Ng-Perron unit root tests, the EGARCH model was analyzed as the best for Bitcoin and TGARCH for the Ethereum and Ripple. According to the obtained results, negative coefficients for Bitcoin imply that negative shocks will increase volatility more than positive shocks. This means that a leverage effect is present. No leverage effect was reached for Ethereum or Ripple, and positive shocks are understood to increase volatility for them compared to negative shocks. In addition, continuous speculative bubble pricing occurred for all three cryptocurrencies, with much higher bubble prices being understood to have occurred with Ethereum and Bitcoin compared to Ripple.

Özet

Çalışmada küresel kriz sonrası gündeme gelen kripto paraların en yüksek hacimli Bitcoin, Ethereum ve Ripple özelinde volatilite özellikleri modellenmiş olup fiyat balonlarının varlığı ve tarihleri belirlenmiştir. ADF ve Ng-Perron birim kök testlerinin ardından Bitcoin için EGARCH, Ethereum ve Ripple için TGARCH modellerinin en iyi model olduğunun tespiti edilmiştir. Analiz sonuçlarına göre Bitcoin için katsayılarının negatif olması negatif şokların pozitif şoklara göre volatiliteleri artıracak şekilde etki göstereceği anlamı taşımaktadır. Bu durum kaldıraç etkisinin bulunduğu anlamına gelmektedir. Ethereum ve Ripple için kaldıraç etkisine ulaşılamamış olup pozitif şokların negatif şoklara göre volatiliteleri artıracak şekilde etki göstereceği anlaşılmaktadır.Ayrıca her üç kripto para için sürekli spekülatif balon fiyatlamalarımeydana gelmiş olup Ripple’a göre Ethereum ve Bitcoin’de çok daha yüksek balon fiyatların meydana gelmektedir.

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Cite This Article

ALTUNÖZ, U. (2023). Analyzing the Volatility Dynamics of Crypto Currency and the Occurrence of Speculative Bubbles: The Examples of Bitcoin, Ethereum, and Ripple. İstanbul İktisat Dergisi, Cilt: 73 Sayı: 1, 615–643. https://ajindex.com/articles/955490

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References (1)

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