Volumen de transacciones, rendimientos y volatilidad del Bitcoin:
Modelo de Heterocedasticidad Condicional Asimétrica (2017-2024)
DOI:
https://doi.org/10.24275/Palabras clave:
Bitcoin, Volatilidad, Volumen de transacciones, GJR-GARCHResumen
Este estudio analiza la relación entre el volumen de transacciones, la volatilidad y los rendimientos de Bitcoin, demostrando que la volatilidad suele estar sobreestimada cuando no se considera el volumen negociado. Se emplea el modelo asimétrico GJR-GARCH para capturar la dinámica de la volatilidad condicional y evaluar su reacción ante choques positivos y negativos. El análisis abarca el período 2017-2024 y cuatro submuestras identificadas mediante la prueba de Bai-Perron para detectar quiebres estructurales. Los resultados indican que la alta volatilidad observada en estudios previos se debe, en gran parte, al bajo volumen de transacciones. Además, se encontró una relación positiva entre el volumen y los rendimientos, así como entre el volumen y la volatilidad en todas las submuestras. Finalmente, se identificó un efecto de apalancamiento tradicional en períodos de crisis y un efecto de apalancamiento inverso en fases expansivas, evidenciando la compleja dinámica del mercado del Bitcoin.
Clasificación JEL: G12, G15, C58, D53.
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Derechos de autor 2026 María Fernanda Urbán Cortés, Eduardo Rosas Rojas
Esta obra está bajo una licencia internacional Creative Commons Atribución-NoComercial-SinDerivadas 4.0.
