Asymmetric volatility and risk analysis of Bitcoin Crypto currency market

This study provides an estimation of Bitcoin's volatility using a variation of GARCH (volatility) models. The Box-Jenkins Procedure is used throughout the analysis. The volatility clustering effect is found in Bitcoin, which suggests that GARCH models are applicable in its return series. In the...

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Bibliographic Details
Main Authors: Yam, Xing Quan, Thai, Xue Yang, Choo, Yun Fei, Chin, Wen Cheong
Format: Article
Language:English
Published: Penerbit Universiti Kebangsaan Malaysia 2023
Online Access:http://journalarticle.ukm.my/22246/1/Paper6%20-.pdf
http://journalarticle.ukm.my/22246/
http://www.ukm.my/jqma
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