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On the speculative nature of cryptocurrencies: A study on Garman and Klass volatility measure

We propose to measure volatilities of 102 active cryptocurrencies using Garman and Klass (GK) volatility measures and model the measures using asymmetric bilinear Conditional Autoregressive Range (ABL-CARR) model. Results reveal volatility persistence and leverage effects which can improve the predi...

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Main Authors: Tan, Shay Kee, Chan, Jennifer So Kuen, Ng, Kok Haur
Format: Article
Published: Elsevier 2020
Subjects:
Q Science (General)
QA Mathematics
Online Access:http://eprints.um.edu.my/24823/
https://doi.org/10.1016/j.frl.2018.12.023
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spelling my.um.eprints.248232020-06-15T03:01:57Z http://eprints.um.edu.my/24823/ On the speculative nature of cryptocurrencies: A study on Garman and Klass volatility measure Tan, Shay Kee Chan, Jennifer So Kuen Ng, Kok Haur Q Science (General) QA Mathematics We propose to measure volatilities of 102 active cryptocurrencies using Garman and Klass (GK) volatility measures and model the measures using asymmetric bilinear Conditional Autoregressive Range (ABL-CARR) model. Results reveal volatility persistence and leverage effects which can improve the predictability of volatility, reduce risk and hence lessen the level of speculation in cryptocurrency market. We further relate volatility features for the top five cryptocurrencies to their time of development and transaction speed and recommend investors to distinguish between long-term or short-term speculation in their investment profile. © 2018 Elsevier Inc. Elsevier 2020 Article PeerReviewed Tan, Shay Kee and Chan, Jennifer So Kuen and Ng, Kok Haur (2020) On the speculative nature of cryptocurrencies: A study on Garman and Klass volatility measure. Finance Research Letters, 32. p. 101075. ISSN 1544-6123 https://doi.org/10.1016/j.frl.2018.12.023 doi:10.1016/j.frl.2018.12.023
institution Universiti Malaya
building UM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Malaya
content_source UM Research Repository
url_provider http://eprints.um.edu.my/
topic Q Science (General)
QA Mathematics
spellingShingle Q Science (General)
QA Mathematics
Tan, Shay Kee
Chan, Jennifer So Kuen
Ng, Kok Haur
On the speculative nature of cryptocurrencies: A study on Garman and Klass volatility measure
description We propose to measure volatilities of 102 active cryptocurrencies using Garman and Klass (GK) volatility measures and model the measures using asymmetric bilinear Conditional Autoregressive Range (ABL-CARR) model. Results reveal volatility persistence and leverage effects which can improve the predictability of volatility, reduce risk and hence lessen the level of speculation in cryptocurrency market. We further relate volatility features for the top five cryptocurrencies to their time of development and transaction speed and recommend investors to distinguish between long-term or short-term speculation in their investment profile. © 2018 Elsevier Inc.
format Article
author Tan, Shay Kee
Chan, Jennifer So Kuen
Ng, Kok Haur
author_facet Tan, Shay Kee
Chan, Jennifer So Kuen
Ng, Kok Haur
author_sort Tan, Shay Kee
title On the speculative nature of cryptocurrencies: A study on Garman and Klass volatility measure
title_short On the speculative nature of cryptocurrencies: A study on Garman and Klass volatility measure
title_full On the speculative nature of cryptocurrencies: A study on Garman and Klass volatility measure
title_fullStr On the speculative nature of cryptocurrencies: A study on Garman and Klass volatility measure
title_full_unstemmed On the speculative nature of cryptocurrencies: A study on Garman and Klass volatility measure
title_sort on the speculative nature of cryptocurrencies: a study on garman and klass volatility measure
publisher Elsevier
publishDate 2020
url http://eprints.um.edu.my/24823/
https://doi.org/10.1016/j.frl.2018.12.023
_version_ 1674066734161592320
score 13.211869

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