COVID-19 and cryptocurrency volatility: Evidence from asymmetric modelling

This paper analyzes the role of COVID-19 pandemic crisis in determining and forecasting conditional volatility returns for a set of eight cryptocurrencies through an asymmetric GARCH modeling approach. The findings report that the COVID-19 pandemic exerts a positive effect on the conditional volatil...

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Detalles Bibliográficos
Autor principal: Apergis, Nicholas
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8723988/
https://www.ncbi.nlm.nih.gov/pubmed/35002550
http://dx.doi.org/10.1016/j.frl.2021.102659
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author Apergis, Nicholas
author_facet Apergis, Nicholas
author_sort Apergis, Nicholas
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description This paper analyzes the role of COVID-19 pandemic crisis in determining and forecasting conditional volatility returns for a set of eight cryptocurrencies through an asymmetric GARCH modeling approach. The findings report that the COVID-19 pandemic exerts a positive effect on the conditional volatility of those returns, while explicitly considering the pandemic event improves volatility predictions.
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spelling pubmed-87239882022-01-04 COVID-19 and cryptocurrency volatility: Evidence from asymmetric modelling Apergis, Nicholas Financ Res Lett Article This paper analyzes the role of COVID-19 pandemic crisis in determining and forecasting conditional volatility returns for a set of eight cryptocurrencies through an asymmetric GARCH modeling approach. The findings report that the COVID-19 pandemic exerts a positive effect on the conditional volatility of those returns, while explicitly considering the pandemic event improves volatility predictions. Elsevier Inc. 2022-06 2021-12-30 /pmc/articles/PMC8723988/ /pubmed/35002550 http://dx.doi.org/10.1016/j.frl.2021.102659 Text en © 2021 Elsevier Inc. All rights reserved. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Article
Apergis, Nicholas
COVID-19 and cryptocurrency volatility: Evidence from asymmetric modelling
title COVID-19 and cryptocurrency volatility: Evidence from asymmetric modelling
title_full COVID-19 and cryptocurrency volatility: Evidence from asymmetric modelling
title_fullStr COVID-19 and cryptocurrency volatility: Evidence from asymmetric modelling
title_full_unstemmed COVID-19 and cryptocurrency volatility: Evidence from asymmetric modelling
title_short COVID-19 and cryptocurrency volatility: Evidence from asymmetric modelling
title_sort covid-19 and cryptocurrency volatility: evidence from asymmetric modelling
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8723988/
https://www.ncbi.nlm.nih.gov/pubmed/35002550
http://dx.doi.org/10.1016/j.frl.2021.102659
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