GARCH Modelling of Cryptocurrencies

Jeffrey Chu · Stephen Chan · Saralees Nadarajah · Joerg R. Osterrieder

356 citations0/0 files storedJournal of risk and financial management

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Stock Market Forecasting Methods

Abstract

With the exception of Bitcoin, there appears to be little or no literature on GARCH modelling of cryptocurrencies. This paper provides the first GARCH modelling of the seven most popular cryptocurrencies. Twelve GARCH models are fitted to each cryptocurrency, and their fits are assessed in terms of five criteria. Conclusions are drawn on the best fitting models, forecasts and acceptability of value at risk estimates.

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References

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