Flip the coin: Heads, tails or cryptocurrencies?

António Portugal Duarte, Fátima Sol Murta, Nuno Baetas da Silva and Beatriz Rodrigues Vieira
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Nuno Baetas da Silva: Ph.D. Student at Faculty of Economics, University of Coimbra
Beatriz Rodrigues Vieira: Univ Coimbra, Faculty of Economics

No 2023-02, CeBER Working Papers from Centre for Business and Economics Research (CeBER), University of Coimbra

Abstract: This paper analysis and compares the volatility of seven cryptocurrencies – Bitcoin, Dogecoin, Ethereum, BitcoinCash, Ripple, Stellar and Litecoin – to the volatility of seven centralized currencies – Yuan, Yen, Canadian Dollar, Brazilian Real, Swiss Franc, Euro and British Pound. We estimate GARCH models to analyze their volatility. The results point to a considerably high volatility of cryptocurrencies when compared to that of centralized currencies. Therefore, we conclude that cryptocurrencies still fall far short of fulfilling all the requirements to be considered as a currency, specifically regarding the functions of store of value and unit of account.

Keywords: Centralized currencies, cryptocurrencies; GARCH models; volatility. (search for similar items in EconPapers)
JEL-codes: E51 G12 G15 G17 G23 (search for similar items in EconPapers)
Pages: 25 pages
Date: 2023-03
New Economics Papers: this item is included in nep-fmk, nep-inv, nep-mon, nep-pay and nep-rmg
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Related works:
Journal Article: Flip the Coin: Heads, Tails or Cryptocurrencies? (2023)
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Persistent link: https://EconPapers.repec.org/RePEc:gmf:papers:2023-02

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