Forecasting Cryptocurrencies: A Comparison of GARCH Models
8 Pages Posted: 27 Jun 2018
Date Written: June 7, 2018
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: Suggested Citation