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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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 for Paraskevi Katsiampa: ORCID iD orcid.org/0000-0003-0477-6503

Library

Item Type:
Article
Depositing User:
Carmel House
Date Deposited:
16 Aug 2017 10:16
Last Modified:
20 Dec 2024 08:06
Date of first compliant deposit:
12 September 2017
Date of first compliant Open Access:
20 December 2018
Version of first compliant deposit:
Author Accepted Manuscript
URI:
https://shura.shu.ac.uk/id/eprint/16526
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