GARCH Modelling of Cryptocurrencies

Jeffrey Chu, Stephen Chan, Saralees Nadarajah and Joerg Osterrieder
Additional contact information
Jeffrey Chu: School of Mathematics, University of Manchester, Manchester M13 9PL, U.K.
Stephen Chan: Department of Mathematics and Statistics, American University of Sharjah, Sharjah P.O. Box 26666, UAE
Saralees Nadarajah: School of Mathematics, University of Manchester, Manchester M13 9PL, U.K.
Joerg Osterrieder: School of Engineering, Zurich University of Applied Sciences, 8400 Winterthur, Switzerland

JRFM, 2017, vol. 10, issue 4, 1-15

Abstract: With the exception of Bitcoin, there appears to be little or no literature on GARCH modelling of cryptocurrencies. This paper provides the first GARCH modelling of the seven most popular cryptocurrencies. Twelve GARCH models are fitted to each cryptocurrency, and their fits are assessed in terms of five criteria. Conclusions are drawn on the best fitting models, forecasts and acceptability of value at risk estimates.

Keywords: exchange rate; maximum likelihood; value at risk (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (150)

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