The Volatility of Bitcoin, Bitcoin Cash, Litecoin, Dogecoin and Ethereum
The purpose of this paper is to select the best GARCH-type model for modelling the volatility of Bitcoin, Bitcoin Cash, Litecoin, Dogecoin and Ethereum. GARCH (1,1), IGARCH(1,1), EGARCH(1,1), TGARCH(1,1) and CGARCH(1,1) are used on the cryptocurrencies closing day return. We select the model with t...
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| Format: | Others |
| Language: | en |
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Université d'Ottawa / University of Ottawa
2021
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| Online Access: | http://hdl.handle.net/10393/42016 http://dx.doi.org/10.20381/ruor-26238 |