【Author】
Apergis, Nicholas
【Source】FINANCE RESEARCH LETTERS
【Abstract】This paper analyzes the role of COVID-19 pandemic crisis in determining and forecasting conditional volatility returns for a set of eight cryptocurrencies through an asymmetric GARCH modeling approach. The findings report that the COVID-19 pandemic exerts a positive effect on the conditional volatility of those returns, while explicitly considering the pandemic event improves volatility predictions.
【Keywords】Cryptocurrency returns; COVID-19; Conditional volatility
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