English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Global: Zendy Plus annual

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Global: Zendy Tools annual

Global: Zendy Free Plan

Global: Zendy Tools monthly

Global: Zendy Plus monthly

In this paper, the pricing performance of the generalised autoregressive conditional heteroskedasticity (GARCH) option pricing model is tested when applied to Bitcoin (BTCUSD). In addition, implied volatility indices (30, 60-and 90-days) of BTCUSD and the Cyptocurrency Index (CRIX) are generated by making use of the symmetric GARCH option pricing model. The results indicate that the GARCH option pricing model produces accurate European option prices when compared to market prices and that the BTCUSD and CRIX implied volatility indices are similar when compared, this is consistent with expectations because BTCUSD is highly weighted when calculating the CRIX. Furthermore, the term structure of volatility indices indicate that short-term volatility (30 days) is generally lower when compared to longer maturities. Furthermore, short-term volatility tends to increase to higher levels when compared to 60 and 90 day volatility when large jumps occur in the underlying asset.

GARCH Generated Volatility Indices of Bitcoin and CRIX