Download This PaperModeling Cryptocurrencies Volatility Using Garch Models: A Comparison Based on Normal and Student’s T-Error Distribution
Salamat, S., Lixia, N., Naseem, S., Mohsin, M., Zia-ur-Rehman, M., & Baig, S. A. (2020). Modeling cryptocurrencies volatility using GARCH models: a comparison based on Normal and Student's T-Error distribution. Entrepreneurship and Sustainability Issues, 7(3), 1580-1596.
17 Pages Posted: 20 May 2020
Date Written: March 20, 2020
Abstract
This study measures the volatility of cryptocurrency by utilizing the symmetric (GARCH 1,1) and asymmetric (EGARCH, TGARCH, PGARCH) model of GARCH family using a daily database designated in different digital monetary standards. The results for an explicit set of currencies for entire period provide evidence of volatile nature of cryptocurrency and in most of the cases, the PGARCH is a better-fitted model with student’s t distribution. The findings show positive shocks heavily affected conditional volatility as a contrast with negative stuns. Those additional analyses can be provided further support their findings and worthwhile information for economic thespians who are engrossed in adding cryptocurrency to their equity portfolios or are snooping about the capabilities of cryptocurrency as a financial asset
Keywords: Cryptocurrency; GARCH models; Normal Distribution; Student’s T Distribution
JEL Classification: B26
Suggested Citation: Suggested Citation