Regime Switching Analysis of Cryptocurrencies

11 Pages Posted: 4 Jun 2019

See all articles by Gianna Figà-Talamanca

Gianna Figà-Talamanca

University of Perugia - Department of Economics

Sergio M. Focardi

Ecole Superieure d'Ingenierie Leonard de Vinci (ESILV)

Marco Patacca

Ecole Superieure d'Ingenierie Leonard de Vinci (ESILV); University of Perugia - Department of Economics

Date Written: May 15, 2019

Abstract

In this paper we test for a regime change in the price dynamics of Bitcoin, Ethereum, Litecoin and Monero, as representatives of the cryptocurrencies asset class. We find evidence for two regimes, corresponding to a low and a high volatility state, and for a strong relationship between the two regimes across different cryptocurrencies. The joint forecasting performance of the four series is finally performed, by following a portfolio approach.

Keywords: Cryptocurrencies, Regime Switching, Hidden Markov Models, Forecasting Analysis

JEL Classification: C22, C52, C53, C58

Suggested Citation

Figà-Talamanca, Gianna and Focardi, Sergio M. and Patacca, Marco, Regime Switching Analysis of Cryptocurrencies (May 15, 2019). Available at SSRN: https://ssrn.com/abstract=3388642 or http://dx.doi.org/10.2139/ssrn.3388642

Gianna Figà-Talamanca

University of Perugia - Department of Economics ( email )

via Pascoli, 20
PG 06123 Perugia, 06123
Italy

Sergio M. Focardi

Ecole Superieure d'Ingenierie Leonard de Vinci (ESILV)

92916 Paris La Defense Cedex
France

Marco Patacca (Contact Author)

Ecole Superieure d'Ingenierie Leonard de Vinci (ESILV) ( email )

92916 Paris La Defense Cedex
France

University of Perugia - Department of Economics ( email )

via Pascoli, 20
PG 06123 Perugia, 06123
Italy

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