GARCH Modelling of Cryptocurrencies

Article, Other literature type English OPEN
Chu, Jeffrey; Chan, Stephen; Nadarajah, Saralees; Osterrieder, Jörg;

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 ... View more
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