The Volatility Structure of Cryptocurrencies: The Comparison of GARCH Models

İbrahim Korkmaz KAHRAMAN; Habib KÜÇÜKŞAHİN; Emin ÇAĞLAK

doi:https://doi.org/10.25295/fsecon.2019.02.002

Makale detayları

The Volatility Structure of Cryptocurrencies: The Comparison of GARCH Models

Yazarlar:

İbrahim Korkmaz KAHRAMAN | Habib KÜÇÜKŞAHİN | Emin ÇAĞLAK

Yayıncı:

Ahmet Arif EREN

Ana Başlıklar:

Yönetim

Dergi:

Fiscaoeconomia 2019 Vol.3 Issue 2, pp.21-45

Belge Tipi:

Makale

Yayın Tarihi:

5/2019

Belge Dili:

İngilizce

Document ID (Org No.):

2000710660

Sıklık:

Üç Yıllık

eISSN:

2564-7504

DOI:

https://doi.org/10.25295/fsecon.2019.02.002

Özet:

 

Forecasting models based on the assumption that returns are normally distributed do not perform sufficiently on shallow markets. These models are more likely to fail in the estimation of the extreme points that can be reached especially at high volatility markets, and this situation is led to investors in predicting volatility. In the volatility forecasting of crypto money, which is seen as an alternative investment tool for the financial investors, single volatility models such as, ARCH, GARCH, T-GARCH, GARCH-M, E-GARCH, and I-GARCH and long memory models (AP-GARCH and C-GARCH) was utilized. In addition, the most suitable model was tried to be tested among the models used for volatility estimation. In this context, the price data of Bitcoin, Ethereum and Ripple cryptocurrency with the highest market value in the crypto money market have been utilized between 24/08/2016-07/05/2018. According to the results of the research, for Bitcoin and Ethereum, the volatility effect of the shocks is permanent and the effect of the positive shocks is more than that of the negative shocks, whereas for Ripple, the volatility effect of the shocks is transient and the passivity of the volatility is short.

Makale detayları

The Volatility Structure of Cryptocurrencies: The Comparison of GARCH Models

Yazarlar: İbrahim Korkmaz KAHRAMAN | Habib KÜÇÜKŞAHİN | Emin ÇAĞLAK

Yayıncı: Ahmet Arif EREN

Ana Başlıklar: Yönetim

Dergi: Fiscaoeconomia 2019 Vol.3 Issue 2, pp.21-45

Belge Tipi: Makale

Yayın Tarihi: 5/2019

Belge Dili: İngilizce

Document ID (Org No.): 2000710660

Sıklık: Üç Yıllık

eISSN: 2564-7504

DOI: https://doi.org/10.25295/fsecon.2019.02.002

Sayı

Yazarlar:

İbrahim Korkmaz KAHRAMAN | Habib KÜÇÜKŞAHİN | Emin ÇAĞLAK

Yayıncı:

Ahmet Arif EREN

Ana Başlıklar:

Yönetim

Dergi:

Fiscaoeconomia 2019 Vol.3 Issue 2, pp.21-45

Belge Tipi:

Makale

Yayın Tarihi:

5/2019

Belge Dili:

İngilizce

Document ID (Org No.):

2000710660

Sıklık:

Üç Yıllık

eISSN:

2564-7504

DOI:

https://doi.org/10.25295/fsecon.2019.02.002