Volatility Co-Movement between Bitcoin and Stablecoins: BEKK–GARCH and Copula–DCC–GARCH Approaches
This paper aims to investigate and measure Bitcoin and the five largest stablecoin market volatilities by incorporating various range-based volatility estimators to the BEKK- GARCH and Copula-DCC-GARCH models. Specifically, we further measure Bitcoins’ volatility related to five major stablecoins an...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2022-05-01
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| Series: | Axioms |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2075-1680/11/6/259 |