Volatility estimation for Bitcoin: A comparison of GARCH models

被引：616

作者：

Katsiampa, Paraskevi ^{[1
]}

机构：

[1] Sheffield Hallam Univ, Sheffield Business Sch, Sheffield S1 1WB, S Yorkshire, England

来源：

ECONOMICS LETTERS | 2017年 / 158卷

关键词：

Bitcoin; Cryptocurrency; GARCH; Volatility;

D O I：

10.1016/j.econlet.2017.06.023

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We explore the optimal conditional heteroskedasticity model with regards to goodness-of-fit to Bitcoin price data. It is found that the best model is the AR-CGARCH model, highlighting the significance of including both a short-run and a long-run component of the conditional variance. Crown Copyright (C) 2017 Published by Elsevier B.V. All rights reserved.

引用

页码：3 / 6

页数：4

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