Volatility estimation for Bitcoin: A comparison of GARCH models

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
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    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
    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: 22 Jun 2020 14:17
    URI: http://shura.shu.ac.uk/id/eprint/16526

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