COVID-19 and cryptocurrency volatility: Evidence from asymmetric modelling

Nicholas Apergis ()

Finance Research Letters, 2022, vol. 47, issue PA

Abstract: 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.

Keywords: Cryptocurrency returns; COVID-19; Conditional volatility (search for similar items in EconPapers)
JEL-codes: D83 G01 G15 G17 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005894

DOI: 10.1016/j.frl.2021.102659

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