Paper Title
Modelling Volatility Dynamics of Cryptocurrencies Using GARCH Models
Article Identifiers
Authors
Intissar GRISSA , Ezzeddine Abaoub
Keywords
Cryptocurrencies, Volatility, GARCH models
Abstract
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.
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How To Cite (APA)
Intissar GRISSA & Ezzeddine Abaoub (February-2024). Modelling Volatility Dynamics of Cryptocurrencies Using GARCH Models. INTERNATIONAL JOURNAL OF NOVEL RESEARCH AND DEVELOPMENT, 9(2), c587-c599. https://ijnrd.org/papers/IJNRD2402266.pdf
Issue
Volume 9 Issue 2, February-2024
Pages : c587-c599
Other Publication Details
Paper Reg. ID: IJNRD_213554
Published Paper Id: IJNRD2402266
Downloads: 000121981
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
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Journal Name: INTERNATIONAL JOURNAL OF NOVEL RESEARCH AND DEVELOPMENT(IJNRD)
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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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