On the volatility of cryptocurrencies

【Author】 Panagiotidis, Theodore; Papapanagiotou, Georgios; Stengos, Thanasis

【Source】RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE

【影响因子】6.143

【Abstract】We perform a large-scale analysis to evaluate the performance of traditional and Markov-switching GARCH models for the volatility of 292 cryptocurrencies. For each cryptocurrency, we estimate a total of 27 alternative GARCH specifications. We consider models that allow up to three different regimes. First, the models are compared in terms of goodness-of-fit using the Deviance Information Criterion and the Bayesian Predictive Information Criterion. Next, we evaluate the ability of the models in forecasting one-day ahead conditional volatility and Value -at-Risk. The results indicate that for a wide range of cryptocurrencies, time-varying models outperform traditional ones.

【Keywords】Bitcoin; Cryptocurrency; Cryptocurrency Volatility; GARCH; Markov-switching; Information criteria

【发表时间】2022 DEC

【收录时间】2022-10-14

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-数字货币