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Dynamic Econometric Models

Dependency Analysis between Bitcoin and Selected Global Currencies
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Dependency Analysis between Bitcoin and Selected Global Currencies

Authors

  • Beata Szetela Rzeszow Technical University
  • Grzegorz Mentel Rzeszow Technical University
  • Stanisław Gędek Rzeszow Technical University

DOI:

https://doi.org/10.12775/DEM.2016.009

Keywords

ARMA, Bitcoin, Dependency, GARCH, Variability

Abstract

In this research we  have tried to identify the relationship between the exchange rate for bitcoin to the leading currencies such as Dollar, Euro, British Pound and Chinese Yuan and Polish zloty as well. We have applied ARMA and GARCH models to model and to analyze the conditional mean and variance. The appliance of GARCH models have identified some dependency in explanation conditional variance between bitcoin and US Dollar, Euro and Yuan, while ARMA analysis have shown no relations between bitcoin and other dependent variables.

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Dynamic Econometric Models

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Published

2016-12-29

How to Cite

1.
SZETELA, Beata, MENTEL, Grzegorz and GĘDEK, Stanisław. Dependency Analysis between Bitcoin and Selected Global Currencies. Dynamic Econometric Models. Online. 29 December 2016. Vol. 16, no. 1, pp. 133-144. [Accessed 2 July 2025]. DOI 10.12775/DEM.2016.009.
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Vol. 16 (2016)

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