Estimating the volatility of cryptocurrencies during bearish markets by employing GARCH models

This study examines the volatility of certain cryptocurrencies and how they are influenced by the three highest capitalization digital currencies, namely the Bitcoin, the Ethereum and the Ripple. We use daily data for the period 1 January 2018–16 September 2018, which represents the bearish market o...

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Detalles Bibliográficos
Autores principales: Kyriazis, Νikolaos A., Daskalou, Kalliopi, Arampatzis, Marios, Prassa, Paraskevi, Papaioannou, Evangelia
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier 2019
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC6702433/
https://www.ncbi.nlm.nih.gov/pubmed/31453399
http://dx.doi.org/10.1016/j.heliyon.2019.e02239
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author Kyriazis, Νikolaos A.
Daskalou, Kalliopi
Arampatzis, Marios
Prassa, Paraskevi
Papaioannou, Evangelia
author_facet Kyriazis, Νikolaos A.
Daskalou, Kalliopi
Arampatzis, Marios
Prassa, Paraskevi
Papaioannou, Evangelia
author_sort Kyriazis, Νikolaos A.
collection PubMed
description This study examines the volatility of certain cryptocurrencies and how they are influenced by the three highest capitalization digital currencies, namely the Bitcoin, the Ethereum and the Ripple. We use daily data for the period 1 January 2018–16 September 2018, which represents the bearish market of cryptocurrencies. The impact of the decline of these three cryptocurrencies on the returns of the other virtual currencies is examined with models of the ARCH and GARCH family, as well as the DCC-GARCH. The main conclusion of the study is that the majority of cryptocurrencies are complementary with Bitcoin, Ethereum and Ripple and that no hedging abilities exist among principal digital currencies in distressed times.
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spelling pubmed-67024332019-08-26 Estimating the volatility of cryptocurrencies during bearish markets by employing GARCH models Kyriazis, Νikolaos A. Daskalou, Kalliopi Arampatzis, Marios Prassa, Paraskevi Papaioannou, Evangelia Heliyon Article This study examines the volatility of certain cryptocurrencies and how they are influenced by the three highest capitalization digital currencies, namely the Bitcoin, the Ethereum and the Ripple. We use daily data for the period 1 January 2018–16 September 2018, which represents the bearish market of cryptocurrencies. The impact of the decline of these three cryptocurrencies on the returns of the other virtual currencies is examined with models of the ARCH and GARCH family, as well as the DCC-GARCH. The main conclusion of the study is that the majority of cryptocurrencies are complementary with Bitcoin, Ethereum and Ripple and that no hedging abilities exist among principal digital currencies in distressed times. Elsevier 2019-08-13 /pmc/articles/PMC6702433/ /pubmed/31453399 http://dx.doi.org/10.1016/j.heliyon.2019.e02239 Text en © 2019 The Author(s) http://creativecommons.org/licenses/by-nc-nd/4.0/ This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/).
spellingShingle Article
Kyriazis, Νikolaos A.
Daskalou, Kalliopi
Arampatzis, Marios
Prassa, Paraskevi
Papaioannou, Evangelia
Estimating the volatility of cryptocurrencies during bearish markets by employing GARCH models
title Estimating the volatility of cryptocurrencies during bearish markets by employing GARCH models
title_full Estimating the volatility of cryptocurrencies during bearish markets by employing GARCH models
title_fullStr Estimating the volatility of cryptocurrencies during bearish markets by employing GARCH models
title_full_unstemmed Estimating the volatility of cryptocurrencies during bearish markets by employing GARCH models
title_short Estimating the volatility of cryptocurrencies during bearish markets by employing GARCH models
title_sort estimating the volatility of cryptocurrencies during bearish markets by employing garch models
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC6702433/
https://www.ncbi.nlm.nih.gov/pubmed/31453399
http://dx.doi.org/10.1016/j.heliyon.2019.e02239
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