The objective of this paper is to select the most optimum model or set of models useful for
modeling sixteen of the most popular crypto-currencies associated volatility. Five GARCH …

This study is an integrated survey of GARCH methodologies applications on 67 empirical
papers that focus on cryptocurrencies. More sophisticated GARCH models are found to …

We explore the optimal conditional heteroskedasticity model with regards to goodness-of-fit
to Bitcoin price data. It is found that the best model is the AR-CGARCH model, highlighting …

In this paper, we investigate the stochastic properties of six major cryptocurrencies and their
bilateral linkages with six stock market indices using fractional integration techniques. From …

With the exception of Bitcoin, there appears to be little or no literature on GARCH modelling
of cryptocurrencies. This paper provides the first GARCH modelling of the seven most …

This paper examines persistence in the cryptocurrency market. Two different long-memory
methods (R/S analysis and fractional integration) are used to analyse it in the case of the …

We study the dynamics of volatility spillover across four major cryptocurrency returns namely
Bitcoin, Ethereum, Ripple and Litecoin from 15− 08− 2015 to 18− 01− 2018. In the first step …

On a univariate setting, this study aims to:(a) model the volatility of Bitcoin, Dash, Monero,
and Stellar,(b) check the eventual existence of structural breaks in their volatility, and (c) …

In this paper, we test the role of news in the predictability of return volatility of digital currency
market during the COVID-19 pandemic. We use hourly data for cryptocurrencies and daily …

Over the last few years, research on Bitcoin and other cryptocurrencies has snowballed
across many disciplines: technical fields, economics, law, public policy, finance, accounting …