Modelling the volatility of Bitcoin returns using GARCH models

Modelling the volatility of Bitcoin returns using GARCH models

Bitcoin has received a lot of attention from both investors and analysts, as it forms the highest market capitalization in the cryptocurrency market. This paper evaluates the volatility of Bitcoin returns using three GARCH models (sGARCH, iGARCH, and tGARCH). The new development allows for the model...

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Bibliographic Details
Main Author: Samuel Asante Gyamerah
Format: Article
Language:English
Published: AIMS Press 2019-01-01
Series:Quantitative Finance and Economics
Subjects:
cryptocurrency
bitcoin
volatility
tgarch
normal inverse gaussian
Online Access:https://www.aimspress.com/article/10.3934/QFE.2019.4.739/fulltext.html

Internet

https://www.aimspress.com/article/10.3934/QFE.2019.4.739/fulltext.html

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