Analysing the distribution properties of Bitcoin returns
Afees Salisu (),
Aviral Tiwari () and
Ibrahim Raheem ()
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Ibrahim Raheem: School of Economics, University of Kent, Canterbury, UK
No 58, Working Papers from Centre for Econometric and Allied Research, University of Ibadan
This study exploits several conditional heteroskedasticity models with various supported distributions in order to find the best distribution as well as the best GARCH-type model that may be used to model volatility of Bitcoin returns. Innovatively, the study is able to establish that pre-testing the residuals of Bitcoin returns for the best distribution can help to identify the appropriate distribution when modelling with GARCH-type models regardless of the data frequency.
Keywords: Bitcoin returns; GARCH-type models; Error distributions (search for similar items in EconPapers)
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