Application of the VAR model in examining the determinants of returns of selected cryptocurrencies


  • Sunčica Stanković Faculty of Business Economics and Entrepreneurship, Belgrade, Serbia
  • Bojan Đorđević Faculty of Management Zaječar, Megatrend University, Belgrade, Serbia
  • Nataša Milojević Faculty of Business Economics and Entrepreneurship, Belgrade, Serbia



Bitcoin, Ethereum, vector autoregression model, Granger causality test, Impulse response function


The increase in the value of cryptocurrencies, market capitalization, and volume of trading on crypto exchanges resulted in a significant increase in the interest of researchers in this decentralized financial system. The two most popular cryptocurrencies today - bitcoin and ethereum - have captured the greatest attention of researchers. Given that cryptocurrency trading is similar to stock trading, the author's assumption is that their returns are determined by the price of gold and the volatility index – VIX, representing this paper's research hypothesis. Testing through vector autoregression (VAR) models, Granger causality tests, and impulse response function (IRF) shows that gold returns do not impact, unlike the VIX volatility index and Ethereum, indicating a significant relationship between cryptocurrencies bitcoin and US stock markets. On the other hand, Bitcoin returns and the volatility index cause ethereum returns, while gold returns do not.


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How to Cite

Stanković, S., Đorđević, B., & Milojević, N. (2023). Application of the VAR model in examining the determinants of returns of selected cryptocurrencies. BizInfo (Blace) Journal of Economics, Management and Informatics, 14(1), 45–52.