Analysing the distribution properties of Bitcoin returns
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This study exploits several conditional heteroskedasticity models with various supported distributions in order to find the best distribution as well as the best GARCH-type model that may be used to model volatility of Bitcoin returns. Innovatively, the study is able to establish that pre-testing the residuals of Bitcoin returns for the best distribution can help to identify the appropriate distribution when modelling with GARCH-type models regardless of the data frequency.