GARCH modelling of cryptocurrencies

Jeffrey Chu, Stephen Chan, Saraleesan Nadarajah, Joerg Osterrieder

Research output: Contribution to journalArticlepeer-review


With the exception of Bitcoin, there appears to be little or no literature on GARCH modelling of cryptocurrencies. This paper provides the first GARCH modelling of the seven most popular cryptocurrencies. Twelve GARCH models are fitted to each cryptocurrency, and their fits are assessed in terms of five criteria. Conclusions are drawn on the best fitting models, forecasts and acceptability of value at risk estimates.
Original languageEnglish
Number of pages17
JournalJournal of Risk and Financial Management
Issue number4
Publication statusPublished - 1 Oct 2017


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