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INTERNATIONAL JOURNAL OF NOVEL RESEARCH AND DEVELOPMENT International Peer Reviewed & Refereed Journals, Open Access Journal ISSN Approved Journal No: 2456-4184 | Impact factor: 8.76 | ESTD Year: 2016 Scholarly open access journals, Peer-reviewed, and Refereed Journals, Impact factor 8.76 (Calculate by google scholar and Semantic Scholar | AI-Powered Research Tool) , Multidisciplinary, Monthly, Indexing in all major database & Metadata, Citation Generator, Digital Object Identifier(DOI) |
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| Paper Title: | Modelling Volatility Dynamics of Cryptocurrencies Using GARCH Models |
| Authors Name: | Intissar GRISSA , Ezzeddine Abaoub |
| Download E-Certificate: | Download |
| Author Reg. ID: |
IJNRD_213554
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| Published Paper Id: | IJNRD2402266 |
| Published In: | Volume 9 Issue 2, February-2024 |
| DOI: | |
| 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. |
| Keywords: | Cryptocurrencies, Volatility, GARCH models |
| Cite Article: | "Modelling Volatility Dynamics of Cryptocurrencies Using GARCH Models", International Journal of Novel Research and Development (www.ijnrd.org), ISSN:2456-4184, Vol.9, Issue 2, page no.c587-c599, February-2024, Available :http://www.ijnrd.org/papers/IJNRD2402266.pdf |
| Downloads: | 000118775 |
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2456-4184 | IMPACT FACTOR: 8.76 Calculated By Google Scholar| ESTD YEAR: 2016 An International Scholarly Open Access Journal, Peer-Reviewed, Refereed Journal Impact Factor 8.76 Calculate by Google Scholar and Semantic Scholar | AI-Powered Research Tool, Multidisciplinary, Monthly, Multilanguage Journal Indexing in All Major Database & Metadata, Citation Generator |
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Published Paper ID:IJNRD2402266 Registration ID: 213554 Published In: Volume 9 Issue 2, February-2024 DOI (Digital Object Identifier): Page No: c587-c599 Country: Carthage University, Tunis, Tunisia Research Area: Science Publisher : IJ Publication Published Paper URL : https://www.ijnrd.org/viewpaperforall?paper=IJNRD2402266 Published Paper PDF: https://www.ijnrd.org/papers/IJNRD2402266 |
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ISSN: 2456-4184
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