Volatility Dynamics of Bitcoin and Eurostoxx 50 In the Eurozone: an Empirical Garch Analysis
Volatility Dynamics of Bitcoin and Eurostoxx 50 In the Eurozone: an Empirical Garch Analysis

Author(s): Vasil Spasov
Subject(s): Economy, Business Economy / Management, Financial Markets, ICT Information and Communications Technologies, Socio-Economic Research
Published by: Университет за национално и световно стопанство (УНСС)
Keywords: bitcoin; EuroStoxx 50; volatility; GARCH; portfolio
Summary/Abstract: This study empirically analyzes the volatility dynamics of Bitcoin and the EuroStoxx 50 index from 2014Q1 to 2025Q2 using GARCH methodology. The analysis focuses on comparing the volatility characteristics and persistence between digital and traditional assets within the European context. Results indicate that Bitcoin exhibits significantly higher volatility than EuroStoxx 50, with a ratio of 4.95:1. The average conditional volatility for Bitcoin reaches 43.23%, compared to 8.73% for EuroStoxx 50. These results highlight the distinct risk profiles of digital versus traditional assets.

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