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Volatility persistence in cryptocurrency markets under structural breaks

Author

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  • Abakah, Emmanuel Joel Aikins
  • Gil-Alana, Luis Alberiko
  • Madigu, Godfrey
  • Romero-Rojo, Fatima

Abstract

This paper deals with the analysis of volatility persistence in 12 main cryptocurrencies (Bitcoin, Bitshare, Bytecoin, Dash, Ether, Litecoin, Monero, Nem, Ripple, Siacoin, Stellar and Tether) taking into account the possibility of structural breaks. Using fractional integration methods, the results indicate that both absolute and squared returns display long memory features, with orders of integration confirming the long memory hypothesis. However, after accounting for structural breaks, we find a reduction in the degree of persistence in the cryptocurrency market. The evidence of persistence in volatility imply that market participants who want to make gains across trading scales need to factor the persistence properties of cryptocurrencies in their valuation and forecasting models since that will help improve long-term volatility market forecasts and optimal hedging decisions.

Suggested Citation

  • Abakah, Emmanuel Joel Aikins & Gil-Alana, Luis Alberiko & Madigu, Godfrey & Romero-Rojo, Fatima, 2020. "Volatility persistence in cryptocurrency markets under structural breaks," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 680-691.
    • Handle: RePEc:eee:reveco:v:69:y:2020:i:c:p:680-691
    DOI: 10.1016/j.iref.2020.06.035
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    More about this item

    Keywords

    Cryptocurrencies; Volatility; Long memory; Fractional integration;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G20 - Financial Economics - - Financial Institutions and Services - - - General

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