Citation: Samuel Asante Gyamerah. Modelling the volatility of Bitcoin returns using GARCH models[J]. Quantitative Finance and Economics, 2019, 3(4): 739-753. doi: 10.3934/QFE.2019.4.739
[1] | Anderson TW, Darling DA(1954) A test of goodness of fit. J Am Stat Assoc 49: 765-769. |
[2] |
Barndorff-Nielsen O (1977) Exponentially decreasing distributions for the logarithm of particle size. Proc Royal Society London A Math Phys Sci 353: 401-419. doi: 10.1098/rspa.1977.0041
![]() |
[3] | Bollerslev T(1986) Generalized autoregressive conditional heteroskedasticity. J Econometrics 31: 307-327. |
[4] | Bouri E, Azzi G, Dyhrberg AH (2013) On the return-volatility relationship in the bitcoin market around the price crash of 2013. Available at SSRN 2869855. |
[5] | Box GE, Pierce DA(1970) Distribution of residual autocorrelations in autoregressive-integrated moving average time series models. J Am Stat Assoc 65: 1509-1526. |
[6] |
Chu J, Chan S, Nadarajah S, et al. (2017) Garch modelling of cryptocurrencies. J Risk Financ Manage 10: 17. doi: 10.3390/jrfm10040017
![]() |
[7] | Dickey DA, Fuller WA (1979) Distribution of the estimators for autoregressive time series with a unit root, J Am Stat Assoc 74: 427-431. |
[8] | Dyhrberg AH (2016) Hedging capabilities of bitcoin. is it the virtual gold? Financ Res Lett 16: 139-144. |
[9] |
Engle R (2001) Garch 101: The use of arch/garch models in applied econometrics. J Econ Perspect 15: 157-168. doi: 10.1257/jep.15.4.157
![]() |
[10] | Gronwald M (2014) The economics of bitcoins-market characteristics and price jumps. |
[11] |
Glosten LR, Jagannathan R, Runkle DE (1993) On the relation between the expected value and the volatility of the nominal excess return on stocks. J Financ 48:1779-1801. doi: 10.1111/j.1540-6261.1993.tb05128.x
![]() |
[12] | Jarque CM, Bera AK(1987) A test for normality of observations and regression residuals. Int Stat Rev/Revue Internationale de Statistique, 163-172. |
[13] |
Katsiampa P (2017) Volatility estimation for bitcoin: A comparison of garch models. Econ Lett 158: 3-6. doi: 10.1016/j.econlet.2017.06.023
![]() |
[14] | Ravichandran K, Bose S, Akgiray V, et al. (1989) Threshold generalized autoregressive conditional heteroskedasticity models. Res J Bus Manage 6: 55-80. |
[15] | Student (1908) The probable error of a mean. Biometrika, 1-25. |