Research on the Correlation Between COVID-19 and Bitcoin Price Volatility Based on Time-series Model

DOI

10.2991/aebmr.k.220307.243How to use a DOI?

Keywords

COVID-19; Bitcoin; ARMAX; GARCH

Abstract

From 2020 to 2021, COVID-19 spread across the globe, which has a significant impact on the global economy and people’s lives. With the development of the COVID-19 pandemic, people’s pessimism about the economy has increased, leading to a significant increase in demand for safe-haven currencies and a sharp rise in the price of safe-haven currencies. Bitcoin, the new safe-haven currency, also saw huge price swings during the pandemic. Select bitcoin price yield index for empirical analysis of time series model. First, this paper use ADF to test the stationarity of the time series and establish the ARMA model. Second, the conditional heteroscedasticity of the residual of the model was found through model testing, and then the GARCH model was modeled. Finally, based on the ARMA-GARCH model, through analyzing the relationship between bitcoin price volatility and the development of COVID-19 in China and the US, the correlation between the two is determined. Through research and calculation, this paper concludes that there is an obvious correlation between the COVID-19 epidemic and the fluctuation of the bitcoin return rate.

Copyright

© 2022 The Authors. Published by Atlantis Press International B.V.

Open Access

This is an open access article under the CC BY-NC license.

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TY  - CONF
AU  - Peilin Du
PY  - 2022
DA  - 2022/03/26
TI  - Research on the Correlation Between COVID-19 and Bitcoin Price Volatility Based on Time-series Model
BT  - Proceedings of the 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022)
PB  - Atlantis Press
SP  - 1481
EP  - 1487
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.220307.243
DO  - 10.2991/aebmr.k.220307.243
ID  - Du2022
ER  -