An empirical investigation of volatility dynamics in the cryptocurrency market
DOI: 10.1016/J.RIBAF.2019.06.004
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摘要: Abstract By employing an asymmetric Diagonal BEKK model, this paper examines volatility dynamics of five major cryptocurrencies, namely Bitcoin, Ether, Ripple, Litecoin, and Stellar Lumen. It is shown that the conditional variances all cryptocurrencies are significantly affected by both previous squared errors past volatility. Moreover, in case shocks have a significant effect current variance. Similar results obtained for cryptocurrencies' covariances, which cross products error terms covariance while capturing effects accordingly. also time-varying correlations exist mostly positive. Finally, found to be responsive news, with Bitcoin Litecoin exhibiting one structural breakpoint each The improve our understanding interdependencies between as well events affect their thus important implications cryptocurrency users investors.
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