Evaluating the Return Volatility of Cryptocurrency Market: An Econometrics Modelling Method

【Author】 Kolte, Ashutosh; Pawar, Avinash; Roy, Jewel Kumar; Vida, Imre; Vasa, Laszlo

【Source】ACTA POLYTECHNICA HUNGARICA

【影响因子】1.711

【Abstract】Cryptocurrency is the blockchain financial technology used for transactions in financial institutions and exchanges. Bitcoin has attracted much coverage from investors and commentators as it represents the maximum market capitalization on a crypto-currency exchange. The study aims to determine the correlation between the daily log-returns and to understand the tendencies in the cryptocurrency market instability of Bitcoin, Litecoin, XRP, Nxt, Dogecoin, Vertcoin, DigiByte, DASH, Counterparty, and MonaCoin. The correlation among the selected cryptocurrencies exists in the study. The analysis is focused primarily upon reference information from the preserved servers of cryptocurrency websites and finance.yahoo.com. This research assesses regular details on the Logarithmic return of Bitcoin, Litecoin, XRP, Nxt, Dogecoin, Vertcoin, DigiByte, DASH, Counterparty, and MonaCoin for a timeframe spanning from October 01st, 2014, to April 30th, 2020. From 131 cryptocurrencies, we considered only 10 Cryptocurrencies due to the availability of data after October 2014. Where there was insufficient information, there were average results determined from preceding and succeeding data. Findings demonstrate that there is GARCH modelling of cryptocurrencies against Bitcoin. Litecoin, XRP, Nxt, Dogecoin, Vertcoin, DigiByte, DASH, Counterparty, and MonaCoin; variability values throughout the duration had a significant effect on the updates from Bitcoin returns. We believe that it helps create information and resources that are valuable to practitioners and scholars who research and form cryptocurrency markets in the future.

【Keywords】Blockchain; Bitcoin; Counterparty; Cryptocurrency; Dash; DigiByte; Dogecoin; Litecoin; MonaCoin; Vertcoin; XRP

【发表时间】2022

【收录时间】2023-03-01

【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