GARCH Modelling of High-Capitalization Cryptocurrencies’ Impacts During Bearish Markets
Published Online: Sep 18, 2020
Page range: 87 - 106
Received: Mar 05, 2019
Accepted: Feb 14, 2020
DOI: https://doi.org/10.2478/jcbtp-2020-0038
Keywords
© 2020 Anastasiadis Panagiotis et al., published by Sciendo
This work is licensed under the Creative Commons Attribution 4.0 International License.
This study investigates how twelve cryptocurrencies with large capitalization get influenced by the three cryptocurrencies with the largest market capitalization (Bitcoin, Ethereum, and Ripple). Twenty alternative specifications of ARCH, GARCH as well as DCC-GARCH are employed. Daily data covers the period from 1 January 1 2018 to 16 September 2018, representing the intense bearish cryptocurrency market. Empirical outcomes reveal that volatility among digital currencies is not best described by the same specification but varies according to the currency. It is evident that most cryptocurrencies have a positive relationship with Bitcoin, Ethereum and Ripple, therefore, there is no great possibility of hedging for crypto-currency portfolio managers and investors in distressed times.