GARCH modelling of cryptocurrencies

With the exception of Bitcoin, there appears to be little or no literature on GARCH modelling of cryptocurrencies. This paper provides the first GARCH modelling of the seven most popular cryptocurrencies. Twelve GARCH models are fitted to each cryptocurrency, and their fits are assessed in terms of five criteria. Conclusions are drawn on the best fitting models, forecasts and acceptability of value at risk estimates.

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Year of publication:	2017
Authors:	Chu, Jeffrey ; Chan, Stephen ; Nadarajah, Saralees ; Osterrieder, Joerg
Published in:	Journal of Risk and Financial Management. - Basel : MDPI, ISSN 1911-8074. - Vol. 10.2017, 4, p. 1-15
Publisher:	Basel : MDPI
Subject:	exchange rate \| maximum likelihood \| value at risk

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.3390/jrfm10040017 [DOI] 1023964589 [GVK] hdl:10419/238842 [Handle]
Source:	EconStor

Persistent link: https://www.econbiz.de/10012610983