Artikel
GARCH generated volatility indices of Bitcoin and CRIX
In this paper, the pricing performance of the generalised autoregressive conditional heteroskedasticity (GARCH) option pricing model is tested when applied to Bitcoin (BTCUSD). In addition, implied volatility indices (30, 60-and 90-days) of BTCUSD and the Cyptocurrency Index (CRIX) are generated by making use of the symmetric GARCH option pricing model. The results indicate that the GARCH option pricing model produces accurate European option prices when compared to market prices and that the BTCUSD and CRIX implied volatility indices are similar when compared, this is consistent with expectations because BTCUSD is highly weighted when calculating the CRIX. Furthermore, the term structure of volatility indices indicate that short-term volatility (30 days) is generally lower when compared to longer maturities. Furthermore, short-term volatility tends to increase to higher levels when compared to 60 and 90 day volatility when large jumps occur in the underlying asset.
- Sprache
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Englisch
- Erschienen in
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Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 13 ; Year: 2020 ; Issue: 6 ; Pages: 1-15 ; Basel: MDPI
- Klassifikation
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Wirtschaft
- Thema
-
cryptocurrency index
Bitcoin
GARCH
volatility index
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Venter, Pierre J.
Maré, E.
- Ereignis
-
Veröffentlichung
- (wer)
-
MDPI
- (wo)
-
Basel
- (wann)
-
2020
- DOI
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doi:10.3390/jrfm13060121
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:42 MEZ
Datenpartner
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Objekttyp
- Artikel
Beteiligte
- Venter, Pierre J.
- Maré, E.
- MDPI
Entstanden
- 2020
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