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Drivers on Bitcoin volatility

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by COINS NEWS 105 Views

I came across an interesting paper published in 2022 on this matter. Imo some of them could be seen without this study. But this might verify it empirically. I'm also interested in your opinions as well.

In this paper, an empirical analysis based on a dynamic Bayesian model averaging (DMA) was conducted, showing twenty-two determinants with significant role in the volatility of Bitcoin. Data from a period of 118 months were used in this study between August 2010 to may 2020 (Which included the bullrun in 2017).

The most important factors came out to be Google trends, total circulation of Bitcoins, US consumer confidence and the S&P500 index (I didn’t expect the S&P500 :/). The list with all the determinants is shown below.

-Bitcoin returns
-Market capitalization
-Bitcoin adress
-Trade volume
-Total circulation
-Google trends
-Consumer sentiment
-US consumer confidence
-MSCI world index
-S&P500 index
-VIX index
-iTraxx Europe swap index
-Global EPU
-US EPU
-World economic activity
-Commodity price index
-Gold index
-Crude oil index
-OECD inflation rate
-Trade weighted Dollar index
-US long-term interest rate
-US short-term interest rate

Source: https://doi.org/10.1016/j.frl.2022.103237

submitted by /u/mashiro1496
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