Bitcoin’in Fiyat Oynaklığının Otoregressif Koşullu Değişen Varyans Modellemeleri ile Belirlenmesi

Amaç: Bu araştırmanın amacı, ilk çıkış yılı olan 2009’dan günümüze finansal piyasalarda yeni bir fenomen haline gelen, sanal para veya kripto para olarak tanımlanabilen bitcoinin, finansal bir yatırım aracı olarak görülmesi yönündeki fiyat hareketlerinin analiz edilmesidir. Tasarım/Yöntem: Çalışmada, Otoregresif Koşullu Değişen Varyans modellemeleri ile oynaklık, getiri davranışı ve finansal bir yatırım aracı olarak güvenilirliği incelenmektedir. Bu kapsamda simetrik ve asimetrik etkili ARCH modellemeleri kullanılmıştır. Bulgular: Analizler sonucunda; simetrik ve asimetrik etkili ARCH modellemeleri ile incelenen bitcoin getiri serisi için ilk dönemde asimetrik etkiye sahip olduğu bulunmuştur. Ayrıca half-life ölçütüne göre bitcoin getiri serisinde meydana gelen şoklar her dönemde 30 günden daha fazla oynaklık kalıcılığı etkisine maruz kaldığı tespit edilmiştir. Dönemler itibariyle incelenen bitcoinin ilk yıllarında daha yüksek oynaklığa sahip olduğu tespit edilmiştir. Sınırlılıklar: Günümüzde finansal piyasalarda yeni bir fenomen haline gelen, sanal para veya kripto para olarak tanımlanabilen bitcoinin oynaklığı analiz edilmiştir. Özgünlük/Değer: Aslında piyasada ticareti yapılan çok sayıda sanal para veya diğer adıyla kripto para bulunmaktadır. Ancak birçok sanal para biriminin arasında en çok bilineni ve piyasa hacmi en fazla olanı olarak bitcoin karşımıza çıkmaktadır. Finansal bir yatırım aracı olarak görülmeye başlanan bitcoin’in fiyat hareketlerinin analiz edilmesi güvenilirlik çerçevesinde büyük öneme sahiptir. Bu yönden yapılan inceleme araştırmanın özgün değerini oluşturmaktadır.

Anahtar Kelimeler:

Bitcoin, Kriptopara, Oynaklık, Simetrik ve Asimetrik ARCH Modelleri

Determination Price Volatility of Bitcoin with Autoregressive Conditional Heteroscedasticiy Models

Purpose: The purpose of this research is to analyze the price movements of bitcoin, which has become a new phenomenon in financial markets since 2009, the first year of its release, and can be defined as virtual money or crypto money, to be seen as a financial investment tool. Design/Methodology: In the study, volatility, return behavior and reliability as a financial investment tool are examined with autoregressive Conditional Variable Variance modeling. In this context, symmetrical and asymmetrical ARCH models were used. Findings: As a result of the analysis; it has been found that it has an asymmetric effect in the first period for the bitcoin return series examined with symmetric and asymmetric ARCH models. In addition, it has been determined that shocks occurring in the bitcoin return series according to the half-life criteria are exposed to the volatility effect for more than 30 days in each period. It has been determined that bitcoin, which is examined by periods, has higher volatility in its first years. Limitations: The volatility of bitcoin, which has become a new phenomenon in financial markets today, can be defined as virtual money or crypto money, has been analyzed. Originality/Value: In fact, there are many virtual currencies or cryptocurrencies traded in the market. However, among many virtual currencies, bitcoin is the most known and the most market volume. Analyzing the price movements of bitcoin, which has started to be seen as a financial investment tool, is of great importance in the framework of reliability. The examination made in this respect constitutes the original value of the research.

Keywords:

Bitcoin, Cryptocurrency, Volatility, Symmetric and Asymmetric ARCH Models,

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