L'effetto leva nella volatilità del Bitcoin: uno sguardo GARCH

This study analyses the volatility of Bitcoin daily returns by exploiting and comparing several univariate GARCH models. It can also be considered an attempt to explain why some of the previous studies detect leverage effect, whereas others do not. Overall, I fi?nd that the leverage effect is statistically signi?cant; even if, in periods of high volatility, it disappears. I prove the robustness of my result to several possible criticisms. Among them, I test the robustness the USD fluctuation. Finally, I try to extend my result to the most important cryptocurrencies.