FROM DISCRETE TO CONTINUOUS: GARCH VOLATILITY MODELING OF THE BITCOIN

Yakup ARI

doi:https://doi.org/10.21121/eab.819934

Makale detayları

FROM DISCRETE TO CONTINUOUS: GARCH VOLATILITY MODELING OF THE BITCOIN

Yazarlar:

Yakup ARI

Yayıncı:

Ege University

Ana Başlıklar:

Ekonomi ve Maliye

Dergi:

Ege Academic Review 2022 Vol.22 Issue 3, pp.353-370

Belge Tipi:

Makale

Yayın Tarihi:

6/2022

Belge Dili:

İngilizce

Document ID (Org No.):

2000950535

Sıklık:

Üç Aylık

pISSN:

1303-099X

DOI:

https://doi.org/10.21121/eab.819934

Özet:

 

Volatility is an important concept for identifying and predicting the risk of financial products. The aim of the study is to determine the most appropriate discrete model for the volatility of Bitcoin returns using the discrete-time GARCH model and its extensions and compare it with the Lévy driven continuous-time GARCH model. For this purpose, the volatility of Bitcoin returns is modeled using daily data of Bitcoin / United States Dolar exchange rate. By comparing discrete-time models according to information criteria and likelihood values, the All-GARCH model with Johnson's-SU innovations is found to be the most adequate model. The persistence of the volatility and half-life of the volatility of the returns are calculated according to the estimation of the discrete model. This discrete model has been compared with the continuous model in which the Lévy increments are derived from the compound Poisson process using various error measurements. As a conclusion, it is found that the continuous-time GARCH model shows a better performance to predict the volatility.

Makale detayları

FROM DISCRETE TO CONTINUOUS: GARCH VOLATILITY MODELING OF THE BITCOIN

Yazarlar: Yakup ARI

Yayıncı: Ege University

Ana Başlıklar: Ekonomi ve Maliye

Dergi: Ege Academic Review 2022 Vol.22 Issue 3, pp.353-370

Belge Tipi: Makale

Yayın Tarihi: 6/2022

Belge Dili: İngilizce

Document ID (Org No.): 2000950535

Sıklık: Üç Aylık

pISSN: 1303-099X

DOI: https://doi.org/10.21121/eab.819934

Sayı

Yazarlar:

Yakup ARI

Yayıncı:

Ege University

Ana Başlıklar:

Ekonomi ve Maliye

Dergi:

Ege Academic Review 2022 Vol.22 Issue 3, pp.353-370

Belge Tipi:

Makale

Yayın Tarihi:

6/2022

Belge Dili:

İngilizce

Document ID (Org No.):

2000950535

Sıklık:

Üç Aylık

pISSN:

1303-099X

DOI:

https://doi.org/10.21121/eab.819934