Periodicity In Bitcoin Returns: A Time-Varying Volatility Approach
Author(s):
Abdelhakim Aknouche1
and Stefanos Dimitrakopoulos2*
We examine if the day-of-the-week effect is present in Bitcoin return series. The model specification in use accounts for conditional heteroscedasticity, which is captured in the form of a stochastic volatility process that allows for periodic time-varying parameters. We find periodicity in Bitcoin returns, which is evidence against the market efficiency of Bitcoin.
