Abstract
This paper investigates how Bitcoin futures introduction affects Bitcoin's normal and jump volatility over time. Using GARCH-jump models, we find Bitcoin's normal and jump volatility increase in the short run, move in opposing directions in the mid run, and decrease in the long run. Besides, we examine whether futures trading activity, proxied by unexpected trading volume and open interest, is associated with Bitcoin volatility. We document that Bitcoin's normal and jump volatility covary positively with unexpected trading volume in the short and mid run. Meanwhile, both volatility covary positively (negatively) with unexpected open interest in the short (mid) run.
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