Modelling the volatility of Bitcoin returns using GARCH models
Bitcoin has received a lot of attention from both investors and analysts, as it forms the highest market capitalization in the cryptocurrency market. This paper evaluates the volatility of Bitcoin returns using three GARCH models (sGARCH, iGARCH, and tGARCH). The new development allows for the model...
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| Format: | Article |
| Language: | English |
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AIMS Press
2019-01-01
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| Series: | Quantitative Finance and Economics |
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| Online Access: | https://www.aimspress.com/article/10.3934/QFE.2019.4.739/fulltext.html |