- The market value of Bitcoin is currently estimated to be around $45 billion.
- The Bitcoin market is highly speculative.
- We study the ability of several GARCH models to explain the Bitcoin price volatility.
- The optimal model in terms of goodness-of-fit to the data is the AR-CGARCH.
We explore the optimal conditional heteroskedasticity model with regards to goodness-of-fit to Bitcoin price data. It is found that the best model is the AR-CGARCH model, highlighting the significance of including both a short-run and a long-run component of the conditional variance.