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Title: On the volatility of cryptocurrencies
Authors: Panagiotidis, Theodore
Papapanagiotou, Georgios
Stengos, Thanasis
Type: Article
Subjects: FRASCATI::Social sciences::Economics and Business::Economics
FRASCATI::Social sciences::Economics and Business::Econometrics
Keywords: Bitcoin
Information criteria
Issue Date: Dec-2022
Publisher: Elsevier
Source: Research in International Business and Finance
Volume: 62
First Page: 101724
Abstract: We perform a large-scale analysis to evaluate the performance of traditional and Markov-switching GARCH models for the volatility of 292 cryptocurrencies. For each cryptocurrency, we estimate a total of 27 alternative GARCH specifications. We consider models that allow up to three different regimes. First, the models are compared in terms of goodness-of-fit using the Deviance Information Criterion and the Bayesian Predictive Information Criterion. Next, we evaluate the ability of the models in forecasting one-day ahead conditional volatility and Value-at-Risk. The results indicate that for a wide range of cryptocurrencies, time-varying models outperform traditional ones.
ISSN: 0275-5319
Other Identifiers: 10.1016/j.ribaf.2022.101724
Appears in Collections:Department of Economics

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