Risks in Major Cryptocurrency Markets: Modeling the Dual Long Memory Property and Structural Breaks

【Author】 Jiang, Zhuhua; Mensi, Walid; Yoon, Seong-Min

【Source】SUSTAINABILITY

【影响因子】3.889

【Abstract】This study estimates the effects of the dual long memory property and structural breaks on the persistence level of six major cryptocurrency markets. We apply the Bai and Perron structural break test, Inclan and Tiao's iterated cumulative sum of squares (ICSS) algorithm, and the fractionally integrated generalized autoregressive conditional heteroscedasticity (FIGARCH) model, with different distributions. The results show that long memory and structural breaks characterize the conditional volatility of cryptocurrency markets, confirming our hypothesis that ignoring structural breaks leads to an underestimation of the persistence of volatility modeling. The ARFIMA-FIGARCH model, with structural breaks and a skewed Student-t distribution, fits the cryptocurrency market's price dynamics well.

【Keywords】cryptocurrency; dual long memory (LM); structural breaks (SBs); efficient market hypothesis; ARFIMA-FIGARCH model

【发表时间】2023 FEB

【收录时间】2023-03-18

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