COVID-19 and cryptocurrency volatility : Evidence from asymmetric modelling
© 2021 Elsevier Inc. All rights reserved..
This paper analyzes the role of COVID-19 pandemic crisis in determining and forecasting conditional volatility returns for a set of eight cryptocurrencies through an asymmetric GARCH modeling approach. The findings report that the COVID-19 pandemic exerts a positive effect on the conditional volatility of those returns, while explicitly considering the pandemic event improves volatility predictions.
| Medienart: |
E-Artikel |
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| Erscheinungsjahr: |
2022 |
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| Erschienen: |
2022 |
| Enthalten in: |
Zur Gesamtaufnahme - volume:47 |
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| Enthalten in: |
Finance research letters - 47(2022) vom: 01. Juni, Seite 102659 |
| Sprache: |
Englisch |
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| Beteiligte Personen: |
Apergis, Nicholas [VerfasserIn] |
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| Links: |
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| Themen: |
COVID-19 |
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| Anmerkungen: |
Date Revised 29.12.2022 published: Print-Electronic Citation Status PubMed-not-MEDLINE |
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| doi: |
10.1016/j.frl.2021.102659 |
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| funding: |
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| Förderinstitution / Projekttitel: |
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| 520 | |a This paper analyzes the role of COVID-19 pandemic crisis in determining and forecasting conditional volatility returns for a set of eight cryptocurrencies through an asymmetric GARCH modeling approach. The findings report that the COVID-19 pandemic exerts a positive effect on the conditional volatility of those returns, while explicitly considering the pandemic event improves volatility predictions | ||
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| 650 | 4 | |a Conditional volatility | |
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