GARCH Modeling of Cryptocurrencies

15 Pages Posted: 3 Oct 2017

See all articles by Jeffrey Chu

Jeffrey Chu

University of Manchester - School of Mathematics

Stephen Chan

University of Manchester - School of Mathematics

Saralees Nadarajah

University of Manchester

Joerg Osterrieder

Zurich University of Applied Sciences

Date Written: September 1, 2017

Abstract

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

Suggested Citation

Chu, Jeffrey and Chan, Stephen and Nadarajah, Saralees and Osterrieder, Joerg, GARCH Modeling of Cryptocurrencies (September 1, 2017). Available at SSRN: https://ssrn.com/abstract=3047027 or http://dx.doi.org/10.2139/ssrn.3047027

Jeffrey Chu

University of Manchester - School of Mathematics ( email )

Alan Turing Building
School of Mathematics
Manchester, Lancashire M13 9PL
United Kingdom

Stephen Chan

University of Manchester - School of Mathematics ( email )

United Kingdom

Saralees Nadarajah (Contact Author)

University of Manchester ( email )

Oxford Road
Manchester, M13 9PL
United Kingdom

Joerg Osterrieder

Zurich University of Applied Sciences ( email )

Economics and Finance
Technikumstrasse 9
Winterthur, 8401
Switzerland

HOME PAGE: http://www.zhaw.ch

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