Analyzing the Volatility Dynamics of Crypto Currency and the Occurrence of Speculative Bubbles: The Examples of Bitcoin, Ethereum, and Ripple

Utku Altunoz ()
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Utku Altunoz: Sinop University Boyabat Economics Faculty of Administrative Sciences, Economics, Sinop, Turkiye

Istanbul Journal of Economics-Istanbul Iktisat Dergisi, 2023, vol. 73, issue 73-1, 615-643

Abstract: This study aims to model the volatility features of Bitcoin, Ethereum, and Ripple, which are the cryptocurrencies with the greatest volumes that have come to the agenda since the global crisis, and to determine the presence and dates of price bubbles.After running the ADF and Ng-Perron unit root tests, the EGARCH model was analyzed as the best for Bitcoin and TGARCH for the Ethereum and Ripple. According to the obtained results, negative coefficients for Bitcoin imply that negative shocks will increase volatility more than positive shocks. This means that a leverage effect is present. No leverage effect was reached for Ethereum or Ripple, and positive shocks are understood to increase volatility for them compared to negative shocks. In addition, continuous speculative bubble pricing occurred for all three cryptocurrencies, with much higher bubble prices being understood to have occurred with Ethereum and Bitcoin compared to Ripple.

Keywords: Cryptocurrency; Volatility; Financial Bubble; Ethereum; Ripple; Bitcoin JEL Classification : C01; C13; C51; E42 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:ist:journl:v:73:y:2023:i:1:p:615-643

DOI: 10.26650/ISTJECON2023-1021393

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