<abstract xmlns="http://www.w3.org/1999/xhtml"><p>This study investigates how twelve cryptocurrencies with large capitalization get influenced by the three cryptocurrencies with the largest market capitalization (Bitcoin, Ethereum, and Ripple). Twenty alternative specifications of ARCH, GARCH as well as DCC-GARCH are employed. Daily data covers the period from 1 January 1 2018 to 16 September 2018, representing the intense bearish cryptocurrency market. Empirical outcomes reveal that volatility among digital currencies is not best described by the same specification but varies according to the currency. It is evident that most cryptocurrencies have a positive relationship with Bitcoin, Ethereum and Ripple, therefore, there is no great possibility of hedging for crypto-currency portfolio managers and investors in distressed times.</p></abstract>

This study investigates how twelve cryptocurrencies with large capitalization get influenced by the three cryptocurrencies with the largest market capitalization (Bitcoin, Ethereum, and Ripple). Twenty alternative specifications of ARCH, GARCH as well as DCC-GARCH are employed. Daily data covers the period from 1 January 1 2018 to 16 September 2018, representing the intense bearish cryptocurrency market. Empirical outcomes reveal that volatility among digital currencies is not best described by the same specification but varies according to the currency. It is evident that most cryptocurrencies have a positive relationship with Bitcoin, Ethereum and Ripple, therefore, there is no great possibility of hedging for crypto-currency portfolio managers and investors in distressed times.

GARCH Modelling of High-Capitalization Cryptocurrencies’ Impacts During Bearish Markets

Journal of Central Banking Theory and Practice

This work is licensed under the Creative Commons Attribution 4.0 International License.

This study investigates how twelve cryptocurrencies with large capitalization get influenced by the three cryptocurrencies with the largest market...

GARCH Modelling of High-Capitalization Cryptocurrencies’ Impacts During Bearish Markets

Published Online: Sep 18, 2020

Page range: 87 - 106

Received: Mar 05, 2019

Accepted: Feb 14, 2020

DOI: https://doi.org/10.2478/jcbtp-2020-0038

Keywords
Bitcoin, Ethereum, Ripple, Garch, Volatility, Bear market

© 2020 Anastasiadis Panagiotis et al., published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

GARCH Modelling of High-Capitalization Cryptocurrencies’ Impacts During Bearish Markets

Published Online: Sep 18, 2020

Page range: 87 - 106

Received: Mar 05, 2019

Accepted: Feb 14, 2020

DOI: https://doi.org/10.2478/jcbtp-2020-0038

KeywordsBitcoin, Ethereum, Ripple, Garch, Volatility, Bear market

© 2020 Anastasiadis Panagiotis et al., published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

Keywords
Bitcoin, Ethereum, Ripple, Garch, Volatility, Bear market