Long Memory Analysis Using the GPH Method in Cryptocurrency Markets: The Case of Bitcoin

In recent years, due to the effects of crises in money markets and the banking sector, trust in central monetary authorities has been shaken and therefore a decentralized system has been sought. On this occasion, the concept of the first cryptocurrency came to the fore in 1998. Crypto markets refer to digital or virtual marketplaces where cryptocurrencies are bought and sold. Cryptocurrencies are decentralized digital assets that use cryptography for secure financial transactions. In 2009, Athe first transaction was made with Bitcoin, the main cryptocurrency. With the increase in demand for this decentralized virtual currency over time, its market value has also increased rapidly. The aim of the study is to explain the structure of these cryptocurrency markets, whose market value is increasing day by day, and to examine the course of price movements specifically for Bitcoin, the main cryptocurrency. The GPH method was used in the analysis using the weekly data set between the periods 17.11.2019 - 10.03.2024. According to the results obtained, it is observed that the Bitcoin series exhibits a resilient and long-memory structure. It has been determined that there is a relatively high resistance in terms of the value of the memory parameter, and therefore it has been determined that it may take time for price changes to reach the equilibrium level again.