GARCH Modelling of Cryptocurrencies
Jeffrey Chu,Stephen Chan,Saraleesan Nadarajah,Joerg Osterrieder +3 more
- Vol. 10, Iss: 4, pp 17
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TLDR
This paper provides the first GARCH modelling of the seven most popular cryptocurrencies, and conclusions are drawn on the best fitting models, forecasts and acceptability of value at risk estimates.Abstract:
With the exception of Bitcoin, there appears to be little or no literature on GARCH modelling of cryptocurrencies. This paper provides the first GARCH modelling of the seven most popular cryptocurrencies. Twelve GARCH models are fitted to each cryptocurrency, and their fits are assessed in terms of five criteria. Conclusions are drawn on the best fitting models, forecasts and acceptability of value at risk estimates.read more
Citations
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Bitcoin is not the New Gold - A Comparison of Volatility, Correlation, and Portfolio Performance
TL;DR: In this paper, the authors compared the conditional variance properties of Bitcoin and gold as well as other assets and found differences in their structure and concluded that Bitcoin and Gold feature fundamentally different properties as assets and linkages to equity markets.
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Does global economic uncertainty matter for the volatility and hedging effectiveness of Bitcoin
TL;DR: In this article, the long-run volatilities of Bitcoin, global equities, commodities, and bonds are assessed by global economic policy uncertainty, and it is shown that global economic uncertainty has a negative significant impact on the Bitcoin-bonds correlation and a positive impact on both Bitcoin-equities and Bitcoin-commodities correlations.
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An application of extreme value theory to cryptocurrencies
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Regime changes in Bitcoin GARCH volatility dynamics
TL;DR: It is found strong evidence of regime changes in the GARCH process and it is shown that MSGARCH models outperform single–regime specifications when predicting the VaR.
References
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Generalized autoregressive conditional heteroskedasticity
Tim Bollerslev,Tim Bollerslev +1 more
TL;DR: In this paper, a natural generalization of the ARCH (Autoregressive Conditional Heteroskedastic) process introduced in 1982 to allow for past conditional variances in the current conditional variance equation is proposed.
Journal ArticleDOI
Conditional heteroskedasticity in asset returns: a new approach
TL;DR: In this article, an exponential ARCH model is proposed to study volatility changes and the risk premium on the CRSP Value-Weighted Market Index from 1962 to 1987, which is an improvement over the widely-used GARCH model.