The price of Bitcoin: GARCH evidence from high-frequency data

This is the first paper that estimates price determinants of Bitcoin in a generalized autoregressive conditional heteroscedasticity (GARCH) framework using high-frequency data. Derived from theoretical model, we structurally estimate transaction demand and speculative models hourly data for 2013–21. In line with hypothesis, our empirical results confirm both have statistically significant impact on formation. The responds negatively to velocity, whereas positive shocks aggregate stock, interest rate size economy exercise an upward pressure price.