Asymmetric volatility and risk analysis of Bitcoin Crypto currency market
This study provides an estimation of Bitcoin's volatility using a variation of GARCH (volatility) models. The Box-Jenkins Procedure is used throughout the analysis. The volatility clustering effect is found in Bitcoin, which suggests that GARCH models are applicable in its return series. In the...
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| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Penerbit Universiti Kebangsaan Malaysia
2023
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| Online Access: | http://journalarticle.ukm.my/22246/1/Paper6%20-.pdf http://journalarticle.ukm.my/22246/ http://www.ukm.my/jqma |
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