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GARCH Modelling of Cryptocurrencies
Jeffrey Chu (University of Manchester), Stephen Chan (American University of Sharjah), Saralees Nadarajah (University of Manchester), Joerg R. Osterrieder (ZHAW Zurich University of Applied Sciences)
Résumé : With the exception of Bitcoin, there appears to be little or no literature on GARCH modelling of cryptocurrencies. This paper provides the first GARCH modelling of the seven most popular cryptocurrencies. Twelve GARCH models are fitted to each cryptocurrency, and their fits are assessed in terms of five criteria. Conclusions are drawn on the best fitting models, forecasts and acceptability of value at risk estimates.