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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

Abstract: 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)
New Economics Papers: this item is included in nep-ets and nep-pay
Date: 2018-06
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