Volatility estimation for Bitcoin: A comparison of GARCH models

Paraskevi Katsiampa

Economics Letters, 2017, vol. 158, issue C, 3-6

Abstract: We explore the optimal conditional heteroskedasticity model with regards to goodness-of-fit to Bitcoin price data. It is found that the best model is the AR-CGARCH model, highlighting the significance of including both a short-run and a long-run component of the conditional variance.

Keywords: Bitcoin; Cryptocurrency; GARCH; Volatility (search for similar items in EconPapers)
JEL-codes: C22 C5 G1 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (408)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:158:y:2017:i:c:p:3-6

DOI: 10.1016/j.econlet.2017.06.023

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