Modeling the volatility of cryptocurrencies: an empirical application of stochastic volatility models
This paper compares a number of stochastic volatility (SV) models for modeling and predicting the volatility of the four most capitalized cryptocurrencies (Bitcoin, Ethereum, Ripple, and Litecoin). The standard SV model, models with heavy-tails and moving average innovations, models with jumps, leve...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Penerbit Universiti Kebangsaan Malaysia
2020
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| Online Access: | http://journalarticle.ukm.my/15201/1/ARTIKEL%2025.pdf |
| _version_ | 1796932207070150656 |
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| author | Zahid, Mamoona Iqbal, Farhat |
| author_facet | Zahid, Mamoona Iqbal, Farhat |
| author_sort | Zahid, Mamoona |
| collection | UKM |
| description | This paper compares a number of stochastic volatility (SV) models for modeling and predicting the volatility of the four most capitalized cryptocurrencies (Bitcoin, Ethereum, Ripple, and Litecoin). The standard SV model, models with heavy-tails and moving average innovations, models with jumps, leverage effects and volatility in mean were considered. The Bayes factor for model fit was largely in favor of the heavy-tailed SV model. The forecasting performance of this model was also found superior than the other competing models. Overall, the findings of this study suggest using the heavy-tailed stochastic volatility model for modeling and forecasting the volatility of cryptocurrencies. |
| first_indexed | 2024-03-06T04:29:26Z |
| format | Article |
| id | ukm.eprints-15201 |
| institution | Universiti Kebangsaan Malaysia |
| language | English |
| last_indexed | 2024-03-06T04:29:26Z |
| publishDate | 2020 |
| publisher | Penerbit Universiti Kebangsaan Malaysia |
| record_format | dspace |
| spelling | ukm.eprints-152012020-09-14T03:56:31Z http://journalarticle.ukm.my/15201/ Modeling the volatility of cryptocurrencies: an empirical application of stochastic volatility models Zahid, Mamoona Iqbal, Farhat This paper compares a number of stochastic volatility (SV) models for modeling and predicting the volatility of the four most capitalized cryptocurrencies (Bitcoin, Ethereum, Ripple, and Litecoin). The standard SV model, models with heavy-tails and moving average innovations, models with jumps, leverage effects and volatility in mean were considered. The Bayes factor for model fit was largely in favor of the heavy-tailed SV model. The forecasting performance of this model was also found superior than the other competing models. Overall, the findings of this study suggest using the heavy-tailed stochastic volatility model for modeling and forecasting the volatility of cryptocurrencies. Penerbit Universiti Kebangsaan Malaysia 2020-03 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/15201/1/ARTIKEL%2025.pdf Zahid, Mamoona and Iqbal, Farhat (2020) Modeling the volatility of cryptocurrencies: an empirical application of stochastic volatility models. Sains Malaysiana, 49 (3). pp. 703-712. ISSN 0126-6039 http://www.ukm.my/jsm/malay_journals/jilid49bil3_2020/KandunganJilid49Bil3_2020.html |
| spellingShingle | Zahid, Mamoona Iqbal, Farhat Modeling the volatility of cryptocurrencies: an empirical application of stochastic volatility models |
| title | Modeling the volatility of cryptocurrencies: an empirical application of stochastic volatility models |
| title_full | Modeling the volatility of cryptocurrencies: an empirical application of stochastic volatility models |
| title_fullStr | Modeling the volatility of cryptocurrencies: an empirical application of stochastic volatility models |
| title_full_unstemmed | Modeling the volatility of cryptocurrencies: an empirical application of stochastic volatility models |
| title_short | Modeling the volatility of cryptocurrencies: an empirical application of stochastic volatility models |
| title_sort | modeling the volatility of cryptocurrencies an empirical application of stochastic volatility models |
| url | http://journalarticle.ukm.my/15201/1/ARTIKEL%2025.pdf |
| work_keys_str_mv | AT zahidmamoona modelingthevolatilityofcryptocurrenciesanempiricalapplicationofstochasticvolatilitymodels AT iqbalfarhat modelingthevolatilityofcryptocurrenciesanempiricalapplicationofstochasticvolatilitymodels |