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

Author

Listed:
  • Anastasiadis Panagiotis

    (Department of Economics, University of Thessaly, Volos, Greece)

  • Katsaros Efthymios

    (Department of Economics, University of Thessaly, Volos, Greece)

  • Koutsioukis Anastasios-Taxiarchis

    (Department of Economics, University of Thessaly, Volos, Greece)

  • Pandazis Athanasios

    (Department of Economics, University of Thessaly, Volos, Greece)

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 cryptocurrency portfolio managers and investors in distressed times.

Suggested Citation

  • Anastasiadis Panagiotis & Katsaros Efthymios & Koutsioukis Anastasios-Taxiarchis & Pandazis Athanasios, 2020. "GARCH Modelling of High-Capitalization Cryptocurrencies' Impacts During Bearish Markets," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 9(3), pages 87-106.
    • Handle: RePEc:cbk:journl:v:9:y:2020:i:3:p:87-106
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    References listed on IDEAS

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    1. Nenad Milojević & Srdjan Redzepagic, 2021. "Prospects of Artificial Intelligence and Machine Learning Application in Banking Risk Management," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 10(3), pages 41-57.

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    More about this item

    Keywords

    Bitcoin; Ethereum; Ripple; Garch; Volatility; Bear market;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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