Asymmetric volatility in cryptocurrency markets: New evidence from smooth transition GARCH models
Nidhaleddine Ben Cheikh (),
Younes Ben Zaied and
Julien Chevallier
Finance Research Letters, 2020, vol. 35, issue C
Abstract:
This paper investigates the presence of asymmetric volatility dynamics in Bitcoin, Ethereum, Ripple, and Litecoin. Asymmetric effects between good and bad news are traditionally modeled using threshold GARCH models that allow only for two possible variance regimes. We experiment a slightly flexible specification for the conditional variance by using a Smooth Transition GARCH (ST-GARCH) model, where a continuum of intermediate states is allowed between the two extreme volatility regimes. We feature an inverted asymmetric reaction for the majority of cryptocurrencies. The presence of positive return-volatility relationship, which is different from other traditional assets, supports the safe-haven hypothesis in cryptocurrencies.
Keywords: Cryptocurrencies; Asymmetric volatility; Smooth transition GARCH (search for similar items in EconPapers)
JEL-codes: C58 G11 G15 G22 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (52)
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S154461231930162X
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:35:y:2020:i:c:s154461231930162x
DOI: 10.1016/j.frl.2019.09.008
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 Catherine Liu ().