Estimation Of Asymmetric Volatility: Crypto Money Application

Bitcoin is one of the digital (crypto) entities that are not affiliated to a central authority or financial institution and that contain cryptographic features. The fact that Bitcoin does not depend on central authority and disclose the factors affecting its price by supply and demand have resulted in high volatility. The biggest concern of investors in recent times is the excessive volatility of Bitcoin prices. Bitcoin, which is an output of Blockchain Technology, Mining and Blockchain Technology, is briefly described in this study. ARCH, GARCH, ARCH-M, EGARCH and TARCH models are used to determine the asymmetric volatility which is frequently used in the literature in the application part of the study. For this purpose, historical returns for Bitcoin are calculated from Bitcoin/USD closing prices. The calculation period is determined as 01.01.2015-11.02.2018. As a result of the analyzes made, it was found as TARCH method which gives the best result for estimating volatility