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.

Katsiampa-VolatilityEstimationforBitcoin(AM).pdf - Accepted Version
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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


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: 18 Mar 2021 01:05
URI: https://shura.shu.ac.uk/id/eprint/16526

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