On the speculative nature of cryptocurrencies: A study on Garman and Klass volatility measure
We propose to measure volatilities of 102 active cryptocurrencies using Garman and Klass (GK) volatility measures and model the measures using asymmetric bilinear Conditional Autoregressive Range (ABL-CARR) model. Results reveal volatility persistence and leverage effects which can improve the predi...
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| Main Authors: | , , |
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| Format: | Article |
| Published: |
Elsevier
2020
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| Subjects: | |
| Online Access: | http://eprints.um.edu.my/24823/ https://doi.org/10.1016/j.frl.2018.12.023 |
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