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COVID-19 and cryptocurrency volatility: Evidence from asymmetric modelling

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  • Apergis, Nicholas

Abstract

This paper analyzes the role of COVID-19 pandemic crisis in determining and forecasting conditional volatility returns for a set of eight cryptocurrencies through an asymmetric GARCH modeling approach. The findings report that the COVID-19 pandemic exerts a positive effect on the conditional volatility of those returns, while explicitly considering the pandemic event improves volatility predictions.

Suggested Citation

  • Apergis, Nicholas, 2022. "COVID-19 and cryptocurrency volatility: Evidence from asymmetric modelling," Finance Research Letters, Elsevier, vol. 47(PA).
    • Handle: RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005894
    DOI: 10.1016/j.frl.2021.102659
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    Cited by:

    1. Arief Rijanto, 2023. "Co-Movements between an Asian Technology Stock Index and Cryptocurrencies during the COVID-19 Pandemic: A Bi-Wavelet Approach," Economies, MDPI, vol. 11(9), pages 1-20, September.
    2. Lahmiri, Salim & Bekiros, Stelios & Bezzina, Frank, 2022. "Evidence of the fractal market hypothesis in European industry sectors with the use of bootstrapped wavelet leaders singularity spectrum analysis," Chaos, Solitons & Fractals, Elsevier, vol. 165(P1).
    3. Jinxin Cui & Aktham Maghyereh, 2022. "Time–frequency co-movement and risk connectedness among cryptocurrencies: new evidence from the higher-order moments before and during the COVID-19 pandemic," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-56, December.
    4. Liu, Jiatong, 2023. "Time-frequency correlations and extreme spillover effects between carbon markets and NFTs: The roles of EPU and COVID-19," Finance Research Letters, Elsevier, vol. 54(C).

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    More about this item

    Keywords

    Cryptocurrency returns; COVID-19; Conditional volatility;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G01 - Financial Economics - - General - - - Financial Crises
    • D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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