GARCH Modelling of High-Capitalization Cryptocurrencies' Impacts During Bearish Markets

Anastasiadis Panagiotis (), Katsaros Efthymios (), Koutsioukis Anastasios-Taxiarchis () and Pandazis Athanasios ()
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Anastasiadis Panagiotis: Department of Economics, University of Thessaly, Volos, Greece
Katsaros Efthymios: Department of Economics, University of Thessaly, Volos, Greece
Koutsioukis Anastasios-Taxiarchis: Department of Economics, University of Thessaly, Volos, Greece
Pandazis Athanasios: Department of Economics, University of Thessaly, Volos, Greece

Journal of Central Banking Theory and Practice, 2020, vol. 9, issue 3, 87-106

Abstract: This study investigates how twelve cryptocurrencies with large capitalization get influenced by the three cryptocurrencies with the largest market capitalization (Bitcoin, Ethereum, and Ripple). Twenty alternative specifications of ARCH, GARCH as well as DCC-GARCH are employed. Daily data covers the period from 1 January 1 2018 to 16 September 2018, representing the intense bearish cryptocurrency market. Empirical outcomes reveal that volatility among digital currencies is not best described by the same specification but varies according to the currency. It is evident that most cryptocurrencies have a positive relationship with Bitcoin, Ethereum and Ripple, therefore, there is no great possibility of hedging for cryptocurrency portfolio managers and investors in distressed times.

Keywords: Bitcoin; Ethereum; Ripple; Garch; Volatility; Bear market (search for similar items in EconPapers)
JEL-codes: G11 G15 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:cbk:journl:v:9:y:2020:i:3:p:87-106

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