GARCH Modeling of Cryptocurrencies
15 Pages Posted: 3 Oct 2017
Date Written: September 1, 2017
With the exception of Bitcoin, there appears to be little or no literature on GARCH modeling of cryptocurrencies. This paper provides the first GARCH modeling 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.
Keywords: Exchange rate, Maximum likelihood, Value at Risk
JEL Classification: C00, C1, E4, E5, G1, G2
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