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Stochastic Properties and Pricing of Bitcoin Using a GJR-GARCH Model with Conditional Skewness and Kurtosis Components

Authors: Panayiotis Theodossiou; Polina Ellina; Christos S. Savva;

Stochastic Properties and Pricing of Bitcoin Using a GJR-GARCH Model with Conditional Skewness and Kurtosis Components

Abstract

Using a flexible statistical framework that accounts for time-varying skewness and leptokurtosis, we examine the stochastic behavior of Bitcoin in comparison to five major currencies. The empirical findings reveal that the distribution of all series is leptokurtic. Once the effect of skewness-kurtosis is considered, the true price of risk is obtained, with implications on policymakers’ and investors’ strategies.

Country
Cyprus
Keywords

Economics and Business, Skewed generalized error distribution, Skewness price of risk, Social Sciences, Upside and downside market probabilities, Conditional skewness and kurtosis, Original Research

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    popularity
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    influence
    This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
5
Top 10%
Average
Top 10%
Green