Asymmetric volatility and risk analysis of Bitcoin Crypto currency market

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Asymmetric volatility and risk analysis of Bitcoin Crypto currency market

This study provides an estimation of Bitcoin's volatility using a variation of GARCH (volatility) models. The Box-Jenkins Procedure is used throughout the analysis. The volatility clustering effect is found in Bitcoin, which suggests that GARCH models are applicable in its return series. In the...

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Bibliographic Details
Main Authors:	Yam, Xing Quan, Thai, Xue Yang, Choo, Yun Fei, Chin, Wen Cheong
Format:	Article
Language:	English
Published:	Penerbit Universiti Kebangsaan Malaysia 2023
Online Access:	http://journalarticle.ukm.my/22246/ http://journalarticle.ukm.my/22246/1/Paper6%20-.pdf

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