This working paper by Anne Haubo Dyhrberg from the University College Dublin explores the financial asset capabilities of Bitcoin using GARCH models. The study compares Bitcoin to gold and the US dollar to understand its role in the market, particularly in risk management and portfolio analysis. The initial GARCH model reveals similarities between Bitcoin and gold, indicating its potential as a medium of exchange and a store of value. The asymmetric GARCH model further suggests that Bitcoin can be useful for risk-averse investors, especially in anticipation of negative market shocks. Overall, Bitcoin is positioned between gold and the US dollar on a scale from pure medium of exchange advantages to pure store of value advantages. The analysis highlights Bitcoin's sensitivity to various economic variables, such as the federal funds rate and exchange rates, and its ability to hedge against market risks. The results indicate that Bitcoin can be a valuable tool for portfolio management and risk analysis, combining aspects of both commodities and currencies.This working paper by Anne Haubo Dyhrberg from the University College Dublin explores the financial asset capabilities of Bitcoin using GARCH models. The study compares Bitcoin to gold and the US dollar to understand its role in the market, particularly in risk management and portfolio analysis. The initial GARCH model reveals similarities between Bitcoin and gold, indicating its potential as a medium of exchange and a store of value. The asymmetric GARCH model further suggests that Bitcoin can be useful for risk-averse investors, especially in anticipation of negative market shocks. Overall, Bitcoin is positioned between gold and the US dollar on a scale from pure medium of exchange advantages to pure store of value advantages. The analysis highlights Bitcoin's sensitivity to various economic variables, such as the federal funds rate and exchange rates, and its ability to hedge against market risks. The results indicate that Bitcoin can be a valuable tool for portfolio management and risk analysis, combining aspects of both commodities and currencies.