Forecasting the Volatility of the Cryptocurrency Market by GARCH and Stochastic Volatility

Forecasting the Volatility of the Cryptocurrency Market by GARCH and Stochastic Volatility

This study examines the volatility of nine leading cryptocurrencies by market capitalization—Bitcoin, XRP, Ethereum, Bitcoin Cash, Stellar, Litecoin, TRON, Cardano, and IOTA-by using a Bayesian Stochastic Volatility (SV) model and several GARCH models. We find that when we deal with extremely volati...

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Bibliographic Details
Main Authors: Jong-Min Kim, Chulhee Jun, Junyoup Lee
Format: Article
Language:English
Published: MDPI AG 2021-07-01
Series:Mathematics
Subjects:
cryptocurrencies
Bitcoin
GARCH
stochastic volatility
Online Access:https://www.mdpi.com/2227-7390/9/14/1614

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