Abstract:

Cryptocurrencies, one of the latest innovative financial products that are traded in the block chain system, has a high interest from investors. Bitcoin (BTC), the highest trading volume product in the cryptocurrency market, has also come to the forefront with the high gaming and speculative price ballons it shows. This study, which studies the existence of US stock exchange index returns in the volatility structure of BTC, covers daily data from the period 10.03.2016 - 11.06.2019. In the study, GARCH, EGARCH and TARCH from the generalized Otoregresive Conditional Variant Models were used as SP500, Nasdaq100 and Dow Jones Industrial Variant. The findings show that (1) both three indicators are meaningful in the BTC volatility description, (2) the models developed with the stock exchange indicators, GARCH, EGARCH and TARCH models are stronger than the similar basic models, and (3) the EGARCH models developed with the indicators are the strongest models.

Keywords: