Factors Affecting the Return and Volatility of Major Cryptocurrencies
作者： Juan M. Dempere
DOI: 10.1109/ITT48889.2019.9075117
关键词:
摘要: The goal of this study is to analyze the predictive power selected financial variables over principal cryptocurrencies (Bitcoin, Ethereum, and Ripple) by applying PGARCH, EGARCH, TGARCH, GARCH models. studied include daily Google trend values cryptocurrencies' names considered as search terms; log-returns exchange rate major currencies per SDRs; SP however, gold have no significant relationship with any them. Finally, we find that oil a Bitcoin only. Regarding volatility cryptocurrencies, our results provide mixed evidence about presence leverage effects.
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