TY - JOUR
T1 - GARCH modelling of cryptocurrencies
AU - Chu, Jeffrey
AU - Chan, Stephen
AU - Nadarajah, Saraleesan
AU - Osterrieder, Joerg
PY - 2017/10/1
Y1 - 2017/10/1
N2 - 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.
AB - 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.
U2 - 10.3390/jrfm10040017
DO - 10.3390/jrfm10040017
M3 - Article
SN - 1911-8074
VL - 10
JO - Journal of Risk and Financial Management
JF - Journal of Risk and Financial Management
IS - 4
ER -