Structural breaks and double long memory of cryptocurrency prices: A comparative analysis from Bitcoin and Ethereum

Walid Mensi, Khamis Hamed Al-Yahyaee and Sang Hoon Kang

Finance Research Letters, 2019, vol. 29, issue C, 222-230

Abstract: This study explores the impacts of structural breaks (SB) on the dual long memory levels of Bitcoin and Ethereum price returns. We identify dual long memory and structural changes on cryptocurrency markets using four different generalized autoregressive conditional heteroskedasticity models (e.g., GARCH, FIGARCH, FIAPARCH, and HYGARCH). Furthermore, the persistence level of both returns and volatility decreases after accounting for long memory and switching states. Finally, the FIGARCH model with SB variables provides a comparatively superior forecasting accuracy performance. These findings have significant implications for both cryptocurrency allocations and portfolio management.

Keywords: Bitcoin; Ethereum; Structural breaks; Long memory; GARCH family models (search for similar items in EconPapers)
JEL-codes: C58 F37 G14 G15 Q31 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (51)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:29:y:2019:i:c:p:222-230

DOI: 10.1016/j.frl.2018.07.011

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