The Price of BitCoin: GARCH Evidence from High Frequency Data
  This is the first paper that estimates the price determinants of BitCoin in a
Generalised Autoregressive Conditional Heteroscedasticity framework using high
frequency data. Derived from a theoretical model, we estimate BitCoin
transaction demand and speculative demand equations in a GARCH framework using
hourly data for the period 2013-2018. In line with the theoretical model, our
empirical results confirm that both the BitCoin transaction demand and
speculative demand have a statistically significant impact on the BitCoin price
formation. The BitCoin price responds negatively to the BitCoin velocity,
whereas positive shocks to the BitCoin stock, interest rate and the size of the
BitCoin economy exercise an upward pressure on the BitCoin price.
