GARCH modelling of cryptocurrencies

Chu, Jeffrey; Chan, Stephen; Nadarajah, Saralees; Osterrieder, Jörg

doi:10.21256/zhaw-4795

Please use this identifier to cite or link to this item: https://doi.org/10.21256/zhaw-4795

Publication type:	Article in scientific journal
Type of review:	Peer review (publication)
Title:	GARCH modelling of cryptocurrencies
Authors:	Chu, Jeffrey Chan, Stephen Nadarajah, Saralees Osterrieder, Jörg
DOI:	10.21256/zhaw-4795 10.3390/jrfm10040017
Published in:	Journal of Risk and Financial Management
Volume(Issue):	10
Issue:	17
Issue Date:	2017
Publisher / Ed. Institution:	MDPI
ISSN:	1911-8066 1911-8074
Language:	English
Subjects:	Cryptocurreny; Garch; Exchange rate; Maximum likelihood; Value at risk
Subject (DDC):	332: Financial economics
Abstract:	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.
URI:	https://digitalcollection.zhaw.ch/handle/11475/15967
Fulltext version:	Published version
License (according to publishing contract):	CC BY 4.0: Attribution 4.0 International
Departement:	School of Engineering
Organisational Unit:	Institute of Data Analysis and Process Design (IDP)
Appears in collections:	Publikationen School of Engineering

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Chu, J., Chan, S., Nadarajah, S., & Osterrieder, J. (2017). GARCH modelling of cryptocurrencies. Journal of Risk and Financial Management, 10(17). https://doi.org/10.21256/zhaw-4795

Chu, J. et al. (2017) ‘GARCH modelling of cryptocurrencies’, Journal of Risk and Financial Management, 10(17). Available at: https://doi.org/10.21256/zhaw-4795.

J. Chu, S. Chan, S. Nadarajah, and J. Osterrieder, “GARCH modelling of cryptocurrencies,” Journal of Risk and Financial Management, vol. 10, no. 17, 2017, doi: 10.21256/zhaw-4795.

CHU, Jeffrey, Stephen CHAN, Saralees NADARAJAH und Jörg OSTERRIEDER, 2017. GARCH modelling of cryptocurrencies. Journal of Risk and Financial Management. 2017. Bd. 10, Nr. 17. DOI 10.21256/zhaw-4795

Chu, Jeffrey, Stephen Chan, Saralees Nadarajah, and Jörg Osterrieder. 2017. “GARCH Modelling of Cryptocurrencies.” Journal of Risk and Financial Management 10 (17). https://doi.org/10.21256/zhaw-4795.

Chu, Jeffrey, et al. “GARCH Modelling of Cryptocurrencies.” Journal of Risk and Financial Management, vol. 10, no. 17, 2017, https://doi.org/10.21256/zhaw-4795.