Certain Stylized Facts of Financial Market: A Case of Bitcoin
Authors/Creators
- 1. Department of Economics, University of Lucknow, Lucknow, India
Description
Abstract: We examine some stylized facts from the financial market, viz., fat tails, volatility clustering, and presence of asymmetry in the dominant cryptocurrency, Bitcoin. We report descriptive statistics of skewness, kurtosis and Jarque-Bera to confirm non-normality and fat tails. Further we employ GARCH model to test volatility clustering in sample period ranging from 15-05-2017 to 08-08-2022 and two sub-periods ranging from 15-05-2017 to 15-10-2020 and 15-10-2020 to 08-08-2022 respectively. To test asymmetry in returns, we use TGARCH for the same sample period and sub-periods. Our result confirms asymmetry, contrary to the misconception of inverted asymmetry in cryptocurrency market.
Keywords: Stylized Facts, Bitcoin, Volatility Clustering, Asymmetry Effects, Fat Tails, GARCH
JEL Classification Number: G15