Modelling Volatility Dynamics of Cryptocurrencies Using GARCH Models

Modelling Volatility Dynamics of Cryptocurrencies Using GARCH Models

Registration ID: IJNRD_213554

Published ID: IJNRD2402266

DOI: Click Here to Get

Intissar GRISSA , Ezzeddine Abaoub

Cryptocurrencies, Volatility, GARCH models

The objective of this research paper is to examine the volatility of cryptocurrency returns. Specifically, we consider the following cryptocurrencies: Bitcoin, Ethereum, Tether, Solana, Ripple, Cardano, Dogecoin, Litecoin, Binance Coin, and Stellar. Special attention will be given to Bitcoin and Ethereum due to their significance in terms of key market capitalization and financial performance of cryptocurrencies. The results obtained through time-series econometrics covering the period from 04/2013 to 06/2022 show that return volatility is not constant (heteroskedastic). Using GARCH modeling, we found that volatility shocks are permanent and significant on conditional variance. The sum of ARCH and GARCH terms is close to unity, implying that shocks on the conditional variable have a permanent impact. However, the results of the analyses of TARCH and EGARCH models have revealed a leverage effect for three cryptocurrencies (Bitcoin, Dogecoin, and Tether): negative economic shocks have a greater impact on future return volatility (amplification effect). For other crypto-assets, the models do not mention significant impacts on volatility.

Published Paper   E-Certificate

"Modelling Volatility Dynamics of Cryptocurrencies Using GARCH Models", IJNRD - INTERNATIONAL JOURNAL OF NOVEL RESEARCH AND DEVELOPMENT (www.IJNRD.org), ISSN:2456-4184, Vol.9, Issue 2, page no.c587-c599, February-2024, Available :https://ijnrd.org/papers/IJNRD2402266.pdf

Volume 9 Issue 2, February-2024

Pages : c587-c599

Paper Reg. ID: IJNRD_213554

Published Paper Id: IJNRD2402266

Downloads: 000121149

Research Area: Science

Country: Carthage University, Tunis, Tunisia

Published Paper PDF: https://ijnrd.org/papers/IJNRD2402266.pdf

Published Paper URL: https://ijnrd.org/viewpaperforall?paper=IJNRD2402266

Journal Name: INTERNATIONAL JOURNAL OF NOVEL RESEARCH AND DEVELOPMENT(IJNRD)

ISSN: 2456-4184 | IMPACT FACTOR: 8.76 Calculated By Google Scholar | ESTD YEAR: 2016

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This work is licensed under a Creative Commons Attribution 4.0 International License and The Open Definition

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