Volatility estimation for Bitcoin: Replication and robustness
Amélie Charles and
International Economics, 2019, issue 157, 23-32
Katsiampa [Volatility estimation for Bitcoin: A comparison of GARCH models. Economics Letters, 158, 3–6, 2017] compares several GARCH-type models to estimate volatility for Bitcoin returns. First, we propose a replication study (i) by verification, using the same sample and period (July 2010 to October 2016), and (ii) by reproduction, extending the sample until March 2018. We obtain only partially different results from those of Kasiampa (2017) on both samples. Second, we propose a robustness analysis (i) by reanalysis, using the robust QML estimator for computing the standard errors of the parameters, and (ii) by extension, taking into account the presence of jumps in the Bitcoin returns. The results show that the six GARCH-type models studied, namely GARCH-type models characterized by short memory, asymmetric effects, or long-run and short-run movements, seem not to be appropriate for modelling the Bitcoin returns.
Keywords: Bitcoin; GARCH; Volatility; Jumps (search for similar items in EconPapers)
JEL-codes: C22 C50 G10 (search for similar items in EconPapers)
References: Add references at CitEc
Citations: View citations in EconPapers (11) Track citations by RSS feed
Downloads: (external link)
Journal Article: Volatility estimation for Bitcoin: Replication and robustness (2019)
Working Paper: Volatility estimation for Bitcoin: Replication and robustness (2018)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:cii:cepiie:2019-q1-157-2
Access Statistics for this article
More articles in International Economics from CEPII research center Contact information at EDIRC.
Bibliographic data for series maintained by ().