Artikel
GARCH modelling of cryptocurrencies
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.
- Language
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Englisch
- Bibliographic citation
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Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 10 ; Year: 2017 ; Issue: 4 ; Pages: 1-15 ; Basel: MDPI
- Classification
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Wirtschaft
- Subject
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exchange rate
maximum likelihood
value at risk
- Event
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Geistige Schöpfung
- (who)
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Chu, Jeffrey
Chan, Stephen
Nadarajah, Saralees
Osterrieder, Joerg
- Event
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Veröffentlichung
- (who)
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MDPI
- (where)
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Basel
- (when)
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2017
- DOI
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doi:10.3390/jrfm10040017
- Handle
- Last update
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10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Chu, Jeffrey
- Chan, Stephen
- Nadarajah, Saralees
- Osterrieder, Joerg
- MDPI
Time of origin
- 2017
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