Abstract:

Bitcoin is one of the digital (crypto) currencies that is not linked to a central authority or financial institution and contains cryptocurrency features. The fact that Bitcoin is not connected to the Central Authority and the fact that the factors affecting its price are explained by supply and demand has resulted in high volatility. In recent years, the biggest concern of investors is the situation of excessive volatility in prices. The study describes bitcoin, which is an output of Blockchain Technology, Mining and Blockchain Technology, in short. In the application section of the study, the methods that are commonly used in literature and asymmetric volatility were used by ARCH, GARCH, ARCHM, EGARCH and TARCH models. For this purpose, the historical returns related to Bitcoin from Bitcoin/USD currency closing prices are calculated. The calculation period is determined as 01.01.2015-11.02.2018. The results of the analysis have found the TARCH method that provides the best results for the volatility forecast.

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