Stochastic properties and pricing of bitcoin using a GJR-GARCH model with conditional skewness and kurtosis components

Panayiotis Theodossiou (), Polina Ellina () and Christos S. Savva ()
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Panayiotis Theodossiou: Cyprus University of Technology
Polina Ellina: Cyprus University of Technology
Christos S. Savva: Cyprus University of Technology

Review of Quantitative Finance and Accounting, 2022, vol. 59, issue 2, No 9, 695-716

Abstract: Abstract Using a flexible statistical framework that accounts for time-varying skewness and leptokurtosis, we examine the stochastic behavior of Bitcoin in comparison to five major currencies. The empirical findings reveal that the distribution of all series is leptokurtic. Once the effect of skewness-kurtosis is considered, the true price of risk is obtained, with implications on policymakers’ and investors’ strategies.

Keywords: Conditional skewness and kurtosis; Skewness price of risk; Upside and downside market probabilities; Skewed generalized error distribution (search for similar items in EconPapers)
JEL-codes: C10 C58 G15 (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s11156-022-01055-x

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