Risks in Major Cryptocurrency Markets: Modeling the Dual Long Memory Property and Structural Breaks

Zhuhua Jiang, Walid Mensi and Seong-Min Yoon
Additional contact information
Zhuhua Jiang: Division of Chinese Foreign Affairs and Commerce, Hankuk University of Foreign Studies, Seoul 02450, Republic of Korea
Walid Mensi: Department of Economics and Finance, College of Economics and Political Science, Sultan Qaboos University, Muscat 123, Oman

Sustainability, 2023, vol. 15, issue 3, 1-15

Abstract: This study estimates the effects of the dual long memory property and structural breaks on the persistence level of six major cryptocurrency markets. We apply the Bai and Perron structural break test, Inclán and Tiao’s iterated cumulative sum of squares (ICSS) algorithm, and the fractionally integrated generalized autoregressive conditional heteroscedasticity (FIGARCH) model, with different distributions. The results show that long memory and structural breaks characterize the conditional volatility of cryptocurrency markets, confirming our hypothesis that ignoring structural breaks leads to an underestimation of the persistence of volatility modeling. The ARFIMA-FIGARCH model, with structural breaks and a skewed Student - t distribution, fits the cryptocurrency market’s price dynamics well.

Keywords: cryptocurrency; dual long memory (LM); structural breaks (SBs); efficient market hypothesis; ARFIMA-FIGARCH model (search for similar items in EconPapers)
JEL-codes: O13 Q Q0 Q2 Q3 Q5 Q56 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.mdpi.com/2071-1050/15/3/2193/pdf (application/pdf)
https://www.mdpi.com/2071-1050/15/3/2193/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jsusta:v:15:y:2023:i:3:p:2193-:d:1045871

Access Statistics for this article

Sustainability is currently edited by Ms. Alexandra Wu

More articles in Sustainability from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().