GARCH Modeling of Cryptocurrencies
Copyright policy )GARCH Modeling of Cryptocurrencies
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.
- University of Twente Netherlands
- School of Mathematics, University of Manchester United Kingdom
- University of Manchester United Kingdom
- University of Salford United Kingdom
- Zurich University of Applied Sciences Switzerland
ddc:330, Exchange rate, exchange rate, Value at risk, value at risk, Garch, exchange rate; maximum likelihood; value at risk, maximum likelihood, Cryptocurreny, 332: Finanzwirtschaft, Maximum likelihood
ddc:330, Exchange rate, exchange rate, Value at risk, value at risk, Garch, exchange rate; maximum likelihood; value at risk, maximum likelihood, Cryptocurreny, 332: Finanzwirtschaft, Maximum likelihood
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