Economics at your fingertips  

Volatility persistence in cryptocurrency markets under structural breaks

Emmanuel Joel Aikins Abakah, Luis Gil-Alana (), Godfrey Madigu and Fatima Romero-Rojo

International Review of Economics & Finance, 2020, vol. 69, issue C, 680-691

Abstract: This paper deals with the analysis of volatility persistence in 12 main cryptocurrencies (Bitcoin, Bitshare, Bytecoin, Dash, Ether, Litecoin, Monero, Nem, Ripple, Siacoin, Stellar and Tether) taking into account the possibility of structural breaks. Using fractional integration methods, the results indicate that both absolute and squared returns display long memory features, with orders of integration confirming the long memory hypothesis. However, after accounting for structural breaks, we find a reduction in the degree of persistence in the cryptocurrency market. The evidence of persistence in volatility imply that market participants who want to make gains across trading scales need to factor the persistence properties of cryptocurrencies in their valuation and forecasting models since that will help improve long-term volatility market forecasts and optimal hedging decisions.

Keywords: Cryptocurrencies; Volatility; Long memory; Fractional integration (search for similar items in EconPapers)
JEL-codes: C22 C50 C60 G11 G15 G20 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
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:

DOI: 10.1016/j.iref.2020.06.035

Access Statistics for this article

International Review of Economics & Finance is currently edited by H. Beladi and C. Chen

More articles in International Review of Economics & Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

Page updated 2021-10-05
Handle: RePEc:eee:reveco:v:69:y:2020:i:c:p:680-691