Research on the characteristics of bitcoin price fluctuations based on ARCH effect

Abstract

Since the appearance of the bitcoin, more and more people have been paying attention to it. Investors have shown great concern about the price of bitcoin through ARCH (Autoregressive conditional heteroskedasticity model) effect test and asymmetric test, we drew the following conclusion: the fluctuations of bitcoin price have the time-varying characteristics and the characteristics of wave agglomeration, but there is no leverage effect.