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Article

GARCH Modelling of Cryptocurrencies

1
School of Mathematics, University of Manchester, Manchester M13 9PL, U.K.
2
Department of Mathematics and Statistics, American University of Sharjah, Sharjah P.O. Box 26666, UAE
3
School of Engineering, Zurich University of Applied Sciences, 8400 Winterthur, Switzerland
*
Author to whom correspondence should be addressed.
J. Risk Financial Manag. 2017, 10(4), 17; https://doi.org/10.3390/jrfm10040017
Received: 31 August 2017 / Revised: 27 September 2017 / Accepted: 28 September 2017 / Published: 1 October 2017
(This article belongs to the Special Issue Extreme Values and Financial Risk)
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 popular cryptocurrencies. Twelve GARCH models are fitted to each cryptocurrency, and their fits are assessed in terms of five criteria. Conclusions are drawn on the best fitting models, forecasts and acceptability of value at risk estimates. View Full-Text
Keywords: exchange rate; maximum likelihood; value at risk exchange rate; maximum likelihood; value at risk
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MDPI and ACS Style

Chu, J.; Chan, S.; Nadarajah, S.; Osterrieder, J. GARCH Modelling of Cryptocurrencies. J. Risk Financial Manag. 2017, 10, 17. https://doi.org/10.3390/jrfm10040017

AMA Style

Chu J, Chan S, Nadarajah S, Osterrieder J. GARCH Modelling of Cryptocurrencies. Journal of Risk and Financial Management. 2017; 10(4):17. https://doi.org/10.3390/jrfm10040017

Chicago/Turabian Style

Chu, Jeffrey, Stephen Chan, Saralees Nadarajah, and Joerg Osterrieder. 2017. "GARCH Modelling of Cryptocurrencies" Journal of Risk and Financial Management 10, no. 4: 17. https://doi.org/10.3390/jrfm10040017

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