TEST OF VOLATILITY BEHAVIORS ON THE CRYPTO CURRENCY MARKET WITH THE ASYMMETRIC STOCHASTIC VOLATILITY MODEL

Magsud Gubadlı; Vedat Sarıkovanlık

Makale detayları

TEST OF VOLATILITY BEHAVIORS ON THE CRYPTO CURRENCY MARKET WITH THE ASYMMETRIC STOCHASTIC VOLATILITY MODEL

Yazarlar:

Magsud Gubadlı | Vedat Sarıkovanlık

Yayıncı:

Zonguldak Bulent Ecevit University

Ana Başlıklar:

Finans

Dergi:

Uluslararası Yönetim İktisat ve İşletme Dergisi Vol.19 Issue 1, pp.61-82

Belge Tipi:

Makale

Yayın Tarihi:

3/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001285409

pISSN:

2147-9208

Anahtar kelimeler:

Özet:

 In this study, the six major crypto currencies of the crypto market Bitcoin, Stellar, Litecoin, Ethereum, Tether and Ripple aims to test whether volatile structure, the asymmetric relationship andor leverage effect exists. Our study covers the period of 09112017-31072022 and with WinBUGS application, the return series is calculated primarily by taking the logarithmic difference. In this context, samples were tested with 100,000 iterations and analysis was performed with the remaining 90,000 samples, excluding the first 10,000 samples of the estimates, in order for the coefficients to come out of the initial trend. According to the asymmetric effect model estimation results, the volatility persistence of cryptocurrencies, volatility predictability, and the correlation between the shock of the currencies own returns and the effect and the shock effects of their volatility were evaluated. When we consider cryptocurrencies as a whole throughout the study, there is an intense volatility clustering for all cryptocurrencies used in our study, this volatility is continuous and the presence of low predictability is among the findings with the empirically asymmetric stochastic volatility model. In addition, according to the results of the study, neither leverage effect nor asymmetric effect relationship was observed in any of the other five currencies except Ethereum cryptocurrency.

 In this study, the six major crypto currencies of the crypto market Bitcoin, Stellar, Litecoin, Ethereum, Tether and Ripple aims to test whether volatile structure, the asymmetric relationship andor leverage effect exists. Our study covers the period of 09112017-31072022 and with WinBUGS application, the return series is calculated primarily by taking the logarithmic difference. In this context, samples were tested with 100,000 iterations and analysis was performed with the remaining 90,000 samples, excluding the first 10,000 samples of the estimates, in order for the coefficients to come out of the initial trend. According to the asymmetric effect model estimation results, the volatility persistence of cryptocurrencies, volatility predictability, and the correlation between the shock of the currencies own returns and the effect and the shock effects of their volatility were evaluated. When we consider cryptocurrencies as a whole throughout the study, there is an intense volatility clustering for all cryptocurrencies used in our study, this volatility is continuous and the presence of low predictability is among the findings with the empirically asymmetric stochastic volatility model. In addition, according to the results of the study, neither leverage effect nor asymmetric effect relationship was observed in any of the other five currencies except Ethereum cryptocurrency.

 In this study, the six major crypto currencies of the crypto market Bitcoin, Stellar, Litecoin, Ethereum, Tether and Ripple aims to test whether volatile structure, the asymmetric relationship andor leverage effect exists. Our study covers the period of 09112017-31072022 and with WinBUGS application, the return series is calculated primarily by taking the logarithmic difference. In this context, samples were tested with 100,000 iterations and analysis was performed with the remaining 90,000 samples, excluding the first 10,000 samples of the estimates, in order for the coefficients to come out of the initial trend. According to the asymmetric effect model estimation results, the volatility persistence of cryptocurrencies, volatility predictability, and the correlation between the shock of the currencies own returns and the effect and the shock effects of their volatility were evaluated. When we consider cryptocurrencies as a whole throughout the study, there is an intense volatility clustering for all cryptocurrencies used in our study, this volatility is continuous and the presence of low predictability is among the findings with the empirically asymmetric stochastic volatility model. In addition, according to the results of the study, neither leverage effect nor asymmetric effect relationship was observed in any of the other five currencies except Ethereum cryptocurrency.

 Bu çalışmada, kripto piyasasının önde gelen altı kripto para biriminin Bitcoin, Stellar, Litecoin, Ethereum, Tether ve Ripple volatil yapısı, asimetrik ilişki veve ya kaldıraç etkisinin var olup olmadığı test edilmektedir. 09112017-31072022 dönemini kapsayan ve WinBUGS uygulaması ile yapılan bu çalışmada öncelikle logaritmik fark alınarak getiri serisi hesaplanmıştır. Bu kapsamda 100.000 tekrarla örneklem sınaması yapılmış olup katsayıların başlangıç eğiliminden çıkması için tahminlerin ilk 10.000 örneklemi dışlanarak kalan 90.000 örneklemle analiz gerçekleştirilmiştir. Asimetrik stokastik volatilite modeli tahmin sonuçlarına göre kripto para birimlerinin oynaklık kalıcılığı, oynaklığın öngörülebilirliği ve para birimlerinin kendi getirilerinin şoku ile oynaklıklarının etkisi arasındaki korelasyon düzeyi ilgili parametreler ile değerlendirilmiştir. Belirtilen zaman aralığında çalışmamızda kullanılan tüm kripto para birimleri için yoğun bir volatilite kümelenmesi olduğu gözlemlenmiştir. Bu volatilitenin sürekli olduğu ve düşük öngörülebilirliğin varlığı ampirik olarak asimetrik stokastik volatilite modeli ile elde edilen bulgular arasındadır. Ayrıca çalışmanın sonuçlarına göre Ethereum kripto para birimi dışındaki diğer beş para biriminin hiçbirinde ne kaldıraç etkisi ne de asimetrik ilişkisinin hiçbiri gözlemlenmemiştir.

Makale detayları

TEST OF VOLATILITY BEHAVIORS ON THE CRYPTO CURRENCY MARKET WITH THE ASYMMETRIC STOCHASTIC VOLATILITY MODEL

Yazarlar:

Magsud Gubadlı | Vedat Sarıkovanlık

Yayıncı:

Zonguldak Bulent Ecevit University

Ana Başlıklar:

Finans

Dergi:

Uluslararası Yönetim İktisat ve İşletme Dergisi Vol.19 Issue 1, pp.61-82

Belge Tipi:

Makale

Yayın Tarihi:

3/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001285409

pISSN:

2147-9208

Cryptocurrency

Asymetric Stochastic Volatility

Leverage Effect

Volatility Persistence

Kripto Para Birimi

Asimetrik Stokastik Oynaklık

Kaldıraç Etkisi

Oynaklığın Kalıcılığı

Sayı

Makale detayları

Yazarlar: Magsud Gubadlı | Vedat Sarıkovanlık

Yayıncı: Zonguldak Bulent Ecevit University

Ana Başlıklar: Finans

Dergi: Uluslararası Yönetim İktisat ve İşletme Dergisi Vol.19 Issue 1, pp.61-82

Belge Tipi: Makale

Yayın Tarihi: 3/2023

Belge Dili: Türkçe

Document ID (Org No.): 2001285409

pISSN: 2147-9208

Sayı

Yazarlar:

Magsud Gubadlı | Vedat Sarıkovanlık

Yayıncı:

Zonguldak Bulent Ecevit University

Ana Başlıklar:

Finans

Dergi:

Uluslararası Yönetim İktisat ve İşletme Dergisi Vol.19 Issue 1, pp.61-82

Belge Tipi:

Makale

Yayın Tarihi:

3/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001285409

pISSN:

2147-9208