Outliers and Time-Varying Jumps in the Cryptocurrency Markets

Anupam Dutta and Elie Bouri
Additional contact information
Anupam Dutta: School of Accounting and Finance, University of Vaasa, 65101 Vaasa, Finland
Elie Bouri: School of Business, Lebanese American University, Beirut P.O. Box 13-5053, Lebanon

JRFM, 2022, vol. 15, issue 3, 1-7

Abstract: We examine the presence of outliers and time-varying jumps in the returns of four major cryptocurrencies (Bitcoin, Ethereum, Ripple, Dogecoin, Litecoin), and a broad cryptocurrency index (CCI30). The results indicate that only Bitcoin returns are contaminated with outliers. Time-varying jumps are present in Bitcoin, Litecoin, Ripple, and the cryptocurrency index. Notably, the presence of jumps in Bitcoin is significant after correcting for outliers. The main findings point to a price instability in some major cryptocurrencies and thereby the importance of accounting for large shocks and time-varying jumps in modelling volatility in the debatable cryptocurrency markets.

Keywords: Bitcoin; cryptocurrencies; outliers; GARCH-jump; time-varying jumps (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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