Dynamic Volatility Modelling of Bitcoin Using Time-Varying Transition
Author | : Dani Wade |
Publisher | : |
Total Pages | : 40 |
Release | : 2021-02-21 |
ISBN-10 | : 9798711998372 |
ISBN-13 | : |
Rating | : 4/5 ( Downloads) |
Download or read book Dynamic Volatility Modelling of Bitcoin Using Time-Varying Transition written by Dani Wade and published by . This book was released on 2021-02-21 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: The cryptocurrency market has attracted significant attention from all around the world, especially on Bitcoin (BTC), due to its intractable behaviour and unpredicted price movements. The unpredictability and high volatility of BTC are always the central issues of many research studies (Williams, 2014; Dwyer, 2015). Particularly, Chaim and Laurini (2018) had recorded two high volatility periods of BTC which are from late 2013 to early 2014 as well as in December 2017. More specifically, Corbet et al. (2019) and Panagiotidis et al. (2019) offered a more comprehensive and systematic review of the cryptocurrency market on major academic research.It has been found that the large volatility of BTC was mainly due to the presence of great swings observed in the returns which also displays characteristic of regime changes (Bariviera et al., 2017). In the similar context, structural breaks have been detected in BTC return series showing the change in the structure of return series over the periods (Mensi et al., 2018; Thies and Mólnar, 2018; Bouri et al., 2019a; Tan et al., 2019). With that in mind, instead of focusing on the single- regime generalised autoregressive conditional heteroscedasticity (GARCH)-type model in the study of BTC volatility dynamics (see e.g., Dyhrberg, 2016; Chu et al., 2017; Katsiampa, 2017 and Lahmiri et al., 2018), we consider the Markov-switching GARCH (MSGARCH) framework in this study.