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Open AccessArticle

GARCH Modelling of Cryptocurrencies

School of Mathematics, University of Manchester, Manchester M13 9PL, U.K.
Department of Mathematics and Statistics, American University of Sharjah, Sharjah P.O. Box 26666, UAE
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;
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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Chu, J.; Chan, S.; Nadarajah, S.; Osterrieder, J. GARCH Modelling of Cryptocurrencies. J. Risk Financial Manag. 2017, 10, 17.

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