Abstract

With the advent of various types of crypto currencies and the growing interest among the investors across the world, Bitcoin still tops the list for being the most preferred choice among all. The era of digitalization and less cash economy with a view to provide both national and global integration and to promote better governance structures, it becomes imperative to have regulation for the new types of financial instruments. This paper gives a Bird’s eye view on the Bitcoin market in India and examines the volatility of the same both pre and post demonetization of the Indian rupee. The findings of the EGARCH and TARCH Models along with the BDS test results suggest the presence of rich volatility and hidden underlying structure in the Bitcoin market.

Keywords: bitcoin, volatility