Regime Switching Analysis of Cryptocurrencies
11 Pages Posted: 4 Jun 2019
Date Written: May 15, 2019
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: Suggested Citation