Determination of macroeconomic factors affecting cryptocurrency volatility with conditionally varying heteroscedasticity models and time series analysis

As a result of the depression after the global economic crisis in 2008, Bitcoin; It was designed by Satoshi Nakamoto as the first crypto currency, became available for traditional money in internet games, and finally began to be demanded by investors as an investment tool in crypto currency exchanges. Unlike traditional currencies, it is a virtual currency that is decentralized and secured with blockchain infrastructure independently of government authority. Investors' desire to get more returns in a short time has increased the interest in cryptocurrencies and many alternative coins (altcoins) have started to be traded on crypto currency exchanges, except Bitcoin, which is the crypto currency with the highest transaction volume. In this study, it is aimed to reveal the relationship between the transaction volume and the macroeconomic factors that are thought to affect the volatility of Bitcoin, the highest market value. In the study, the relationship between Bitcoin volatility and BIST100, inflation, exchange rate (USD) and gold prices was analyzed by ARDL Cointegration Tests, Granger and Todo - Yamamoto Causality analysis, Impact - Response analysis and Variance Research based on monthly data covering the April 2012 - September 2021 periods. analyzed. As a result of the analysis; The existence of a long-term cointegration relationship between Bitcoin volatility and BIST100, inflation, exchange rate and gold variables was determined, and according to the long-term ARDL coefficient estimation results, a long-term negative relationship was determined between gold and Bitcoin volatility. According to the cumulative Fourier-Frequency Toda & Yamamoto Granger causality analysis results; It has been determined that there is a one-way causality relationship from gold to Bitcoin volatility, on the other hand, there is no causality relationship between Bitcoin volatility and BIST100, inflation, and exchange rate. Keywords: Criypto Currency, Bitcoin, Volatilty Spillover, Time Series Analysis