GARCH Modeling of Cryptocurrencies

Jeffrey Chu; Stephen Chan; Saralees Nadarajah; Joerg Osterrieder

doi:10.2139/ssrn.3047027

GARCH Modeling of Cryptocurrencies

Jeffrey Chu, Stephen Chan, Saralees Nadarajah, Joerg Osterrieder

Research output: Working paper

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Abstract

With the exception of Bitcoin, there appears to be little or no literature on GARCH modeling of cryptocurrencies. This paper provides the first GARCH modeling 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.

Original language	Undefined
Number of pages	15
DOIs	https://doi.org/10.2139/ssrn.3047027
Publication status	Published - 2017
Externally published	Yes

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GARCH Modeling of Cryptocurrencies

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