Volatility estimation for Bitcoin: A comparison of GARCH models

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KATSIAMPA, Paraskevi (2017). Volatility estimation for Bitcoin: A comparison of GARCH models. Economics Letters, 158, 3-6. [Article]

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16526:241170

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16526:241170

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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.

More Information

Official URL:

http://www.sciencedirect.com/science/article/pii/S...

Departments - Does NOT include content added after October 2018:

Sheffield Business School > Department of Management

Page Range:

3-6

Identifiers

Identification Number:

10.1016/j.econlet.2017.06.023

ORCID:

https://orcid.org/0000-0003-0477-6503