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:: 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
Departments: Sheffield Business School > Management
Identification Number: 10.1016/j.econlet.2017.06.023
Depositing User: Carmel House
Date Deposited: 16 Aug 2017 10:16
Last Modified: 12 Sep 2017 11:43
URI: http://shura.shu.ac.uk/id/eprint/16526

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