Forecasting the Volatility of Cryptocurrencies in the Presence of COVID-19 with the State Space Model and Kalman Filter
During the COVID-19 pandemic, cryptocurrency prices showed abnormal volatility that attracted the participation of many investors. Studying the behaviour of volatility for the prices of cryptocurrency is an interesting problem to be investigated. This research implements the state space model framew...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2022-09-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/10/17/3190 |