Modeling the Volatility of Bitcoin Returns Using EGARCH Method
نویسندگان
چکیده
The development process in financial markets give rise to the emergence of various instruments and cryptocurrencies, which are newest tools this process, trying integrate into system. Even though use crypto-currencies for investment speculation has increased, limited information on market leads high level volatility price return. Therefore, study aims analyze dynamics returns Bitcoin, is cryptocurrency with largest volume, using weekly data set 2013:04-2020:09 period. In context, Exponential Generalized Autoregressive Conditional Heteroscedasticity (EGARCH) model employed investigate asymmetric volatility, refers effects positive negative shocks. results analysis show that leverage effect applies Bitcoin returns. other words, between good bad news revealed. Moreover, fact parameter resistance a value reflects past period shocks have significant current conditional variance
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ژورنال
عنوان ژورنال: Journal of Ya?ar University
سال: 2021
ISSN: ['1305-970X']
DOI: https://doi.org/10.19168/jyasar.861308