نمذجة تقلبات عوائد البتكوين باستخدام نماذج Egarch(p q)‎

الملخص EN

This study aims to attempt modelling Volatility returns Bitcoin using EGARCH models (p, q) daily series of bitcoin prices during the period from 01/01/2013 until 05/07/2019.

And find out the positive impact of shocks (positive news) and negative shocks (negative news) on returns.

The study found that there is no effect of leverage; that shocks the positive increase of volatility larger than negative shocks.

Market transactions bitcoin suffers from long fluctuations once the occurrence of radiation or crises, fluctuations persist in the long term.