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A new look at Cryptocurrencies

Andrew Phillip, Jennifer S.K. Chan and Shelton Peiris

Economics Letters, 2018, vol. 163, issue C, 6-9

Abstract: The complexities of Cryptocurrencies are yet to be fully explored. New evidence suggests the most popular Cryptocurrency, Bitcoin, displays many diverse stylized facts including long memory and heteroskedasticity. This note combines many of these attributes into a single model to conditionally measure the varied nature of Cryptocurrencies. Understanding these properties helps us to evaluate their investability. We fit our model to 224 different Cryptocurrencies in order to determine which of these properties exist. It is found that Cryptocurrencies in general have several unique properties including leverage effects and Student-t error distributions.

Keywords: Long memory; Stochastic volatility; Leverage; Heavy tails; Cryptocurrency; Bitcoin (search for similar items in EconPapers)
JEL-codes: C5 C22 G1 (search for similar items in EconPapers)
Date: 2018
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