Please use this identifier to cite or link to this item: https://doi.org/10.21256/zhaw-4795
Publication type: Article in scientific journal
Type of review: Peer review (publication)
Title: GARCH modelling of cryptocurrencies
Authors: Chu, Jeffrey
Chan, Stephen
Nadarajah, Saralees
Osterrieder, Jörg
DOI: 10.21256/zhaw-4795
10.3390/jrfm10040017
Published in: Journal of Risk and Financial Management
Volume(Issue): 10
Issue: 17
Issue Date: 2017
Publisher / Ed. Institution: MDPI
ISSN: 1911-8066
1911-8074
Language: English
Subjects: Cryptocurreny; Garch; Exchange rate; Maximum likelihood; Value at risk
Subject (DDC): 332: Financial economics
Abstract: With the exception of Bitcoin, there appears to be little or no literature on GARCH modelling of cryptocurrencies. This paper provides the first GARCH modelling of the seven most popular cryptocurrencies. Twelve GARCH models are fitted to each cryptocurrency, and their fits are assessed in terms of five criteria. Conclusions are drawn on the best fitting models, forecasts and acceptability of value at risk estimates.
URI: https://digitalcollection.zhaw.ch/handle/11475/15967
Fulltext version: Published version
License (according to publishing contract): CC BY 4.0: Attribution 4.0 International
Departement: School of Engineering
Organisational Unit: Institute of Data Analysis and Process Design (IDP)
Appears in collections:Publikationen School of Engineering

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