What Explains Bitcoin Volatility? Evidence from an Extended HAR Framework

This study investigates the dynamics of Bitcoin’s realized volatility by extending the Heterogeneous Autoregressive (HAR) framework to incorporate external shocks from major financial and commodity markets, namely the NASDAQ-100, Brent crude oil, and gold. To capture potential asymmetries, external market returns are decomposed into positive and negative components. In addition, structural changes in volatility dynamics are examined using structural break tests. The empirical results reveal strong volatility persistence at the daily and weekly horizons, consistent with the HAR structure. Shocks associated with the NASDAQ and gold markets are significantly related to Bitcoin’s realized volatility, whereas the association with crude oil prices is limited. Moreover, both negative and positive gold-market shocks display stronger linkages in the post-2022 period, suggesting time variation in the volatility relationship between Bitcoin and gold.