This paper investigates the nexus between Bitcoin, gold and highly innovative uncertainty indices by employing alternative Autoregressive Conditional Heteroskedasticity (ARCH) and Generalized ARCH (GARCH) specifications. The period examined covers from March 2012 up to March 2020. Econometric outcomes indicate that Bitcoin returns and volatility are positively influenced by gold returns and the S&P500 volatility index (VIX). Nevertheless, it is revealed that the innovative Geopolitical Risk Index by Caldara and Iacoviello ( 2019 ) exerts negative impacts on Bitcoin markets. Evidence indicates that the Simple Asymmetric ARCH methodology provides the best fit for the purposes of estimations. Our findings cast light on the important aspects of Bitcoin behavior and provide guidance for decision-making about portfolios that contain Bitcoin and gold. This enables economic agents to ameliorate their risk–return trade-off depending on the fluctuations in stock markets and geopolitical uncertainty.

中文翻译：

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黄金、股市和地缘政治不确定性对比特币价格和波动性的影响

本文通过采用替代自回归条件异方差 (ARCH) 和广义 ARCH (GARCH) 规范来研究比特币、黄金和高度创新的不确定性指数之间的关系。检查的时期涵盖 2012 年 3 月至 2020 年 3 月。经济计量结果表明，比特币回报和波动性受到黄金回报和标准普尔 500 波动率指数 (VIX) 的积极影响。尽管如此，据透露，Caldara 和 Iacoviello（2019 年）的创新地缘政治风险指数对比特币市场产生了负面影响。证据表明，简单非对称 ARCH 方法为估计目的提供了最佳拟合。我们的发现揭示了比特币行为的重要方面，并为包含比特币和黄金的投资组合的决策提供了指导。