Dynamic volatility modelling of Bitcoin using time-varying transition probability Markov-switching GARCH model
Bitcoin (BTC), as the dominant cryptocurrency, has attracted tremendous attention lately due to its excessive volatility. This paper proposes the time-varying transition probability Markov-switching GARCH (TV-MSGARCH) models incorporated with BTC daily trading volume and daily Google searches singly...
Saved in:
Main Authors: | Tan, Chia-Yen, Koh, You-Beng, Ng, Kok-Haur, Ng, Kooi-Huat |
---|---|
Format: | Article |
Published: |
Elsevier
2021
|
Subjects: | |
Online Access: | http://eprints.um.edu.my/26435/ |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
-
Dynamic volatility modelling of cryptocurrencies using time-varying transition probability Markov switching models / Tan Chia Yen
by: Tan , Chia Yen
Published: (2021) -
A Hybrid Markov Switching Garch Model Approach For Improving Volatility Dynamics
by: Hossain, Md Jamal
Published: (2021) -
Modeling and forecasting the realized volatility of bitcoin using realized HAR-GARCH-type models with jumps and inverse leverage effect
by: Zahid, Mamoona, et al.
Published: (2022) -
Model selection based on value-at-risk backtests approach for GARCH-type models
by: Koh, You Beng
Published: (2019) -
Bitcoin performance and its volatility
by: Audi, Jasman
Published: (2020)