GARCH Modelling of Cryptocurrencies

Jeffrey Chu; Stephen Chan; Saralees Nadarajah; Joerg Osterrieder

doi:10.3390/jrfm10040017

GARCH Modelling of Cryptocurrencies

Jeffrey Chu, Stephen Chan, Saralees Nadarajah, Joerg Osterrieder

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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

Original language	English
Article number	17
Journal	Journal of Risk and Financial Management
Volume	10
Issue number	4
DOIs	https://doi.org/10.3390/jrfm10040017
Publication status	Published - 1 Oct 2017
Externally published	Yes

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Chu-2017-Garch-modelling-of-cryptocurrenciesFinal published version, 262 KBLicence: CC BY

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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",

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GARCH Modelling of Cryptocurrencies

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