GARCH 모형을 적용한 가상화폐 수익률의 변동성 분석

This paper analyzes the relationship between volatility and volatility of the Cryptocurrency. For the empirical analysis, we used the bitcoin price and trading volume from January 1, 2014 to Deptember 30, 2018 by GJR-GARCH and test the mixture of distribution hypothesis and sequential information arrival hypothesis. Based on the results, the volatility is estimated by applying the transition model reflecting external shock factors. The results of this study are as follows. First, the asymmetry of the volatility of the volatility of the Cryptocurrency is statistically significant and the volatility feedback phenomenon is confirmed. Second, we supported mixture of distribution hypothesis. Next, using the Markov regime switching model, which is a model reflecting the structural change, the transition probability from the estimation of volatility is statistically significant. This study is not only different from previous study but also the implications in that it investigates volatility of the cryptocurrency that has not been performed before. Asymmetric volatility of the cryptocurrency supports the prior study on volatility feedback, Also the result of supporting the mixed distribution hypothesis.