1. bookVolume 9 (2020): Issue 3 (September 2020)
Journal Details
License
Format
Journal
eISSN
2336-9205
First Published
11 Mar 2014
Publication timeframe
3 times per year
Languages
English
access type Open Access

GARCH Modelling of High-Capitalization Cryptocurrencies’ Impacts During Bearish Markets

Published Online: 18 Sep 2020
Volume & Issue: Volume 9 (2020) - Issue 3 (September 2020)
Page range: 87 - 106
Received: 05 Mar 2019
Accepted: 14 Feb 2020
Journal Details
License
Format
Journal
eISSN
2336-9205
First Published
11 Mar 2014
Publication timeframe
3 times per year
Languages
English
Abstract

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.

Keywords

JEL Classification

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