Long- and Short-Term Cryptocurrency Volatility Components: A GARCH-MIDAS Analysis

Long- and Short-Term Cryptocurrency Volatility Components: A GARCH-MIDAS Analysis

We use the GARCH-MIDAS model to extract the long- and short-term volatility components of cryptocurrencies. As potential drivers of Bitcoin volatility, we consider measures of volatility and risk in the US stock market as well as a measure of global economic activity. We find that S&P 500 re...

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Bibliographic Details
Main Authors: Christian Conrad, Anessa Custovic, Eric Ghysels
Format: Article
Language:English
Published: MDPI AG 2018-05-01
Series:Journal of Risk and Financial Management
Subjects:
Baltic dry index
Bitcoin volatility
digital currency
GARCH-MIDAS
pro-cyclical volatility
volume
Online Access:http://www.mdpi.com/1911-8074/11/2/23

Internet

http://www.mdpi.com/1911-8074/11/2/23

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