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GARCH Modelling of Cryptocurrencies

Author

Listed:
  • Jeffrey Chu

    () (School of Mathematics, University of Manchester, Manchester M13 9PL, U.K.)

  • Stephen Chan

    () (Department of Mathematics and Statistics, American University of Sharjah, Sharjah P.O. Box 26666, UAE)

  • Saralees Nadarajah

    () (School of Mathematics, University of Manchester, Manchester M13 9PL, U.K.)

  • Joerg Osterrieder

    () (School of Engineering, Zurich University of Applied Sciences, 8400 Winterthur, Switzerland)

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.

Suggested Citation

  • Jeffrey Chu & Stephen Chan & Saralees Nadarajah & Joerg Osterrieder, 2017. "GARCH Modelling of Cryptocurrencies," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 10(4), pages 1-15, October.
  • Handle: RePEc:gam:jjrfmx:v:10:y:2017:i:4:p:17-:d:113895
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Charles Shaw, 2018. "Conditional heteroskedasticity in crypto-asset returns," Papers 1804.07978, arXiv.org.
    2. Sovbetov, Yhlas, 2018. "Factors Influencing Cryptocurrency Prices: Evidence from Bitcoin, Ethereum, Dash, Litcoin, and Monero," MPRA Paper 85036, University Library of Munich, Germany.
    3. Thomas Walther & Tony Klein & Hien Pham Thu, 2018. "Bitcoin is not the New Gold - A Comparison of Volatility, Correlation, and Portfolio Performance," Working Papers on Finance 1812, University of St. Gallen, School of Finance.
    4. Thomas Walther & Tony Klein, 2018. "Exogenous Drivers of Cryptocurrency Volatility - A Mixed Data Sampling Approach To Forecasting," Working Papers on Finance 1815, University of St. Gallen, School of Finance.
    5. repec:eee:ecolet:v:164:y:2018:i:c:p:109-111 is not listed on IDEAS
    6. repec:trp:01jefa:jefa0016 is not listed on IDEAS
    7. Cuneyt Akcora & Matthew Dixon & Yulia Gel & Murat Kantarcioglu, 2018. "Bitcoin Risk Modeling with Blockchain Graphs," Papers 1805.04698, arXiv.org.

    More about this item

    Keywords

    exchange rate; maximum likelihood; value at risk;

    JEL classification:

    • C - Mathematical and Quantitative Methods
    • E - Macroeconomics and Monetary Economics
    • F2 - International Economics - - International Factor Movements and International Business
    • F3 - International Economics - - International Finance
    • G - Financial Economics

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