 Volatility dynamics of crypto-currencies’ returns: Evidence from asymmetric and long memory GARCH modelsMohamed Fakhfekh and Ahmed Jeribi Research in International Business and Finance, 2020, vol. 51, issue C Abstract: The objective of this paper is to select the most optimum model or set of models useful for modeling sixteen of the most popular crypto-currencies associated volatility. Five GARCH models, with different error distributions, are fitted to each of these crypto-currencies. The most effectively fit model or superior set of models is then selected through maximizing the likelihood and minimizing the AIC and BIC information criteria. The reached results prove that the majority of crypto-currencies turn out to be rather effectively modulated via the TGARCH with double exponential distribution. Indeed, the attained findings report an asymmetric effect whereby volatility turns out to increase rather by response to positive shocks than by response to negative shocks, implying an asymmetric effect that differs from that generally observed in stock markets. The increase in volatility, as emanating in response to positive shocks may well have its justification in the uninformed investors’ undertaken herding strategies. Keywords: GARCH models; Crypto-Currencies; Leverage effect; Long memory; Error distribution (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:51:y:2020:i:c:s027553191930056x DOI: 10.1016/j.ribaf.2019.101075 Access Statistics for this article Research in International Business and Finance is currently edited by T. Lagoarde Segot More articles in Research in International Business and Finance from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.