EconPapers    
Economics at your fingertips  
 

Regime changes in Bitcoin GARCH volatility dynamics

David Ardia, Keven Bluteau and Maxime Rüede

Finance Research Letters, 2019, vol. 29, issue C, 266-271

Abstract: We test the presence of regime changes in the GARCH volatility dynamics of Bitcoin log–returns using Markov–switching GARCH (MSGARCH) models. We also compare MSGARCH to traditional single–regime GARCH specifications in predicting one–day ahead Value–at–Risk (VaR). The Bayesian approach is used to estimate the model parameters and to compute the VaR forecasts. We find strong evidence of regime changes in the GARCH process and show that MSGARCH models outperform single–regime specifications when predicting the VaR.

Keywords: Bitcoin; GARCH; MSGARCH; Value–at–Risk; Backtesting; Bayesian estimation (search for similar items in EconPapers)
JEL-codes: C5 C22 G1 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612318303970
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:29:y:2019:i:c:p:266-271

DOI: 10.1016/j.frl.2018.08.009

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Haili He ().

 
Page updated 2020-09-19
Handle: RePEc:eee:finlet:v:29:y:2019:i:c:p:266-271