KATSIAMPA, Paraskevi (2017). Volatility estimation for Bitcoin: A comparison of GARCH models. Economics Letters, 158, 3-6.
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Official URL: http://www.sciencedirect.com/science/article/pii/S...
Link to published version:: https://doi.org/10.1016/j.econlet.2017.06.023
Abstract
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.
Item Type: | Article |
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Departments - Does NOT include content added after October 2018: | Sheffield Business School > Department of Management |
Identification Number: | https://doi.org/10.1016/j.econlet.2017.06.023 |
Page Range: | 3-6 |
Depositing User: | Carmel House |
Date Deposited: | 16 Aug 2017 10:16 |
Last Modified: | 18 Mar 2021 01:05 |
URI: | https://shura.shu.ac.uk/id/eprint/16526 |
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