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Stochastic properties and pricing of bitcoin using a GJR-GARCH model with conditional skewness and kurtosis components

Author

Listed:
  • Panayiotis Theodossiou

    (Cyprus University of Technology)

  • Polina Ellina

    (Cyprus University of Technology
    American University of Cyprus (AUCY))

  • Christos S. Savva

    (Cyprus University of Technology)

Abstract

Using a flexible statistical framework that accounts for time-varying skewness and leptokurtosis, we examine the stochastic behavior of Bitcoin in comparison to five major currencies. The empirical findings reveal that the distribution of all series is leptokurtic. Once the effect of skewness-kurtosis is considered, the true price of risk is obtained, with implications on policymakers’ and investors’ strategies.

Suggested Citation

  • Panayiotis Theodossiou & Polina Ellina & Christos S. Savva, 2022. "Stochastic properties and pricing of bitcoin using a GJR-GARCH model with conditional skewness and kurtosis components," Review of Quantitative Finance and Accounting, Springer, vol. 59(2), pages 695-716, August.
    • Handle: RePEc:kap:rqfnac:v:59:y:2022:i:2:d:10.1007_s11156-022-01055-x
    DOI: 10.1007/s11156-022-01055-x
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    References listed on IDEAS

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    More about this item

    Keywords

    Conditional skewness and kurtosis; Skewness price of risk; Upside and downside market probabilities; Skewed generalized error distribution;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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