Please use this identifier to cite or link to this item:
https://ruomo.lib.uom.gr/handle/7000/1706
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 GARCH Markov-switching Information criteria Volatility Cryptocurrency |
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. |
URI: | https://doi.org/10.1016/j.ribaf.2022.101724 https://ruomo.lib.uom.gr/handle/7000/1706 |
ISSN: | 0275-5319 |
Other Identifiers: | 10.1016/j.ribaf.2022.101724 |
Appears in Collections: | Department of Economics |
Files in This Item:
File | Description | Size | Format | |
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On_the_volatility_of_cryptocurrencies.pdf Until 2025-12-01 | 1,19 MB | Adobe PDF | View/Open Request a copy |
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