| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5057651 | Economics Letters | 2017 | 4 Pages |
Abstract
â¢The market value of Bitcoin is currently estimated to be around $45 billion.â¢The Bitcoin market is highly speculative.â¢We study the ability of several GARCH models to explain the Bitcoin price volatility.â¢The optimal model in terms of goodness-of-fit to the data is the AR-CGARCH.
We explore the optimal conditional heteroskedasticity model with regards to goodness-of-fit to Bitcoin price data. It is found that the best model is the AR-CGARCH model, highlighting the significance of including both a short-run and a long-run component of the conditional variance.
Related Topics
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Authors
Paraskevi Katsiampa,