145
Views
0
CrossRef citations to date
0
Altmetric
Research Article

Volatility modeling of cryptocurrency and identifying common GARCH model

, ORCID Icon &

References

  • Akaike, H. 1974. “A New look at the Statistical Model Identification.” IEEE Transactions on Automatic Control 19 (6):716–23. https://doi.org/10.1109/TAC.1974.1100705.
  • Altun, E., H. Tatl idil, and G. Özel. 2019. “Conditional asgt-garch Approach to Value-at-Risk.” Iranian Journal of Science and Technology, Transactions A: Science 43:239–47. https://doi.org/10.1007/s40995-018-0484-1.
  • Barndorff-Nielsen, O. 1977. Exponentially decreasing distributions for the logarithm of particle size. Proceedings of the Royal Society of London. A. Mathematical and Physical Sciences 353 (1674):401–419.
  • Barndorff-Nielsen, O. 1978. Hyperbolic distributions and distributions on hyperbolae. Scandinavian Journal of Statistics, 151–157.
  • Bollerslev, T. 1986. “Generalized Autoregressive Conditional Heteroskedasticity.” Journal of Econometrics 31 (3):307–27. https://doi.org/10.1016/0304-4076(86)90063-1.
  • Ding, Z., C. W. Granger, and R. F. Engle. 1993. “A Long Memory Property of Stock Market Returns and a New Model.” Journal of Empirical Finance 1 (1):83–106. https://doi.org/10.1016/0927-5398(93)90006-D.
  • Dyhrberg, A. H. 2016. “Bitcoin, Gold and the Dollar - A Garch Volatility Analysis.” Finance Research Letters 16:85–92. https://doi.org/10.1016/j.frl.2015.10.008.
  • Engle, R. F., and T. Bollerslev. 1986. “Modelling the Persistence of Conditional Variances.” Econometric Reviews 5 (1):1–50. https://doi.org/10.1080/07474938608800095.
  • Engle, R. F., and V. K. Ng. 1993. “Measuring and Testing the Impact of News on Volatility.” The Journal of Finance 48 (5):1749–78. https://doi.org/10.1111/j.1540-6261.1993.tb05127.x.
  • Engle, R. F., and G. Lee. 1999. A long-run and short-run component model of stock return volatility. Cointegration, Causality, and Forecasting: A Festschrift in Honour of Clive WJ Granger, 475.
  • Fernández, C., and M. F. J. Steel. 1998. “On Bayesian Modeling of Fat Tails and Skewness.” Journal of the American Statistical Association 93 (441):359–371.
  • Glosten, L. R., R. Jagannathan, and D. E. Runkle. 1993. “On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks.” The Journal of Finance 48 (5):1779–801. https://doi.org/10.1111/j.1540-6261.1993.tb05128.x.
  • Hannan, E. J., and B. G. Quinn. 1979. “The Determination of the Order of an Autoregression.” Journal of the Royal Statistical Society, Series B 41 (2):190–95. https://doi.org/10.1111/j.2517-6161.1979.tb01072.x.
  • Hentschel, L. (1995). “All in the Family Nesting Symmetric and Asymmetric Garch Models.” Journal of Financial Economics 39 (1):71–104. https://doi.org/10.1016/0304-405X(94)00821-H.
  • Higgins, M. L., and A. K. Bera. 1992. “A Class of Nonlinear Arch Models.” International Economic Review 33 (1):137–58. https://doi.org/10.2307/2526988.
  • Katsiampa, P. 2017. “Volatility Estimation for Bitcoin: A Comparison of Garch Models.” Economics Letters 158:3–6. https://doi.org/10.1016/j.econlet.2017.06.023.
  • Kupiec, P. H. 1995. Techniques for verifying the accuracy of risk measurement models, The Journal of Derivatives, 3 (2), 73–84. https://doi.org/10.3905/jod.1995.407942.
  • Nakamoto, S. 2009. Bitcoin: A Peer-to-Peer Electronic Cash System.” Cryptography Mailing list at https://metzdowd.com.
  • Nelson, D. B. 1991. “Conditional Heteroskedasticity in Asset Returns: A New Approach.” Econometrica 59 (2):347–70. https://doi.org/10.2307/2938260.
  • Osterrieder, J., and J. Lorenz. 2017. “A Statistical Risk Assessment of Bitcoin and its Extreme Tail Behavior.” Annals of Financial Economics 12:1750003. https://doi.org/10.1142/S2010495217500038.
  • Pichl, L., and T. Kaizoji. 2017. “Volatility Analysis of Bitcoin.” Quantitative Finance and Economics 1 (4):474–85. https://doi.org/10.3934/QFE.2017.4.474.
  • Schwarz, G. 1978. “Estimating the dimension of a model.” The Annals of Statistics 6 (2):461–64. https://doi.org/10.1214/aos/1176344136.
  • Schwert, G. W., and P. J. Seguin. 1990. “Heteroskedasticity in Stock Returns. The Journal of Finance 45 (4):1129–55. https://doi.org/10.1111/j.1540-6261.1990.tb02430.x.
  • Student. 1908. The probable error of a mean. Biometrika, 1–25. JSTOR. https://doi.org/10.2307/2331554.
  • Taylor, S. J. 2008. Modelling financial time series. World scientific.
  • Zakoian, J. M. 1994. “Threshold Heteroskedastic Models.” Journal of Economic Dynamics and Control 18 (5):931–55. https://doi.org/10.1016/0165-1889(94)90039-6.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.