GARCH Generated Volatility Indices of Bitcoin and CRIX

GARCH Generated Volatility Indices of Bitcoin and CRIX

In this paper, the pricing performance of the generalised autoregressive conditional heteroskedasticity (GARCH) option pricing model is tested when applied to Bitcoin (BTCUSD). In addition, implied volatility indices (30, 60-and 90-days) of BTCUSD and the Cyptocurrency Index (CRIX) are generated by...

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Bibliographic Details
Main Authors: Pierre J. Venter, Eben Maré
Format: Article
Language:English
Published: MDPI AG 2020-06-01
Series:Journal of Risk and Financial Management
Subjects:
cryptocurrency index
Bitcoin
GARCH
volatility index
Online Access:https://www.mdpi.com/1911-8074/13/6/121

Internet

https://www.mdpi.com/1911-8074/13/6/121

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