Periodicity In Bitcoin Returns: A Time-Varying Volatility Approach

Authors

  • Abdelhakim Aknouche Department of Mathematics, College of Science, Qassim University, Saudi Arabia Author
  • Stefanos Dimitrakopoulos Department of Statistics, Athens University of Economics and Business, Greece Author

DOI:

https://doi.org/10.47363/JESMR/2025(6)285

Keywords:

Bitcoin Series, Periodicity, Stochastic Volatility Model

Abstract

We examine if the day-of-the-week effect is present in Bitcoin return series. The model specification in use accounts for conditional heteroscedasticity, which is captured in the form of a stochastic volatility process that allows for periodic time-varying parameters. We find periodicity in Bitcoin returns, which is evidence against the market efficiency of Bitcoin.

Author Biographies

  • Abdelhakim Aknouche, Department of Mathematics, College of Science, Qassim University, Saudi Arabia

    Department of Mathematics, College of Science, Qassim University, Saudi Arabia

  • Stefanos Dimitrakopoulos, Department of Statistics, Athens University of Economics and Business, Greece

    Department of Statistics, Athens University of Economics and Business, Greece

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Published

2025-03-17

Issue

Vol. 6 No. 3 (2025): Volume 6 Issue 3

Section

Articles