O impacto do mercado futuro na volatilidade dos preços de fechamento spot de bitcoins

Abstract

The present study uses the daily returns of the closing prices of the Bitcoin applied in the GARCH volatility model to test whether the implementation of the Bitcoin futures market had an impact on the volatility of the spot prices. The literature points out that the introduction of instruments for regulating and forecasting financial assets helps to change the perception of risk and, consequently, the volatility of assets. In agreement with the literature discussed, the result suggests a reduction in the volatility levels of the underlying asset (Bitcoin) after the implementation of a derivative instrument traded at Chicago Board Options Exchange – CBOE.