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Forecasting Cryptocurrencies: A Comparison of GARCH Models

8 Pages Posted: 27 Jun 2018

See all articles by Giovanni Angelini

Giovanni Angelini

University of Bologna - School of Economics, Management, and Statistics

Silvia Emili

University of Bologna - CAST - Centre for Advanced Studies in Tourism; University of Bologna - Department of Statistics

Date Written: June 7, 2018

Abstract

In this paper we enhance the literature exploring the forecasting capability of six alternatives GARCH-type models to predict volatility of four of the most traded cryptocurrencies: Bitcoin, Ethereum, Ripple and Litecoin. The analysis is performed on daily data from 1st March 2016 to 28th February 2018.

Keywords: Cryptocurrency, GARCH Model, Forecasting

Suggested Citation

Angelini, Giovanni and Emili, Silvia, Forecasting Cryptocurrencies: A Comparison of GARCH Models (June 7, 2018). Available at SSRN: https://ssrn.com/abstract=3195704 or http://dx.doi.org/10.2139/ssrn.3195704

Giovanni Angelini

University of Bologna - School of Economics, Management, and Statistics ( email )

40126 Bologna
Italy

Silvia Emili (Contact Author)

University of Bologna - CAST - Centre for Advanced Studies in Tourism ( email )

Via Angherà 22
Rimini, RN 47922
Italy

University of Bologna - Department of Statistics ( email )

Bologna, 40126
Italy

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