Open AccessModelling the volatility of Bitcoin returns using GARCH models
Author(s) -
Samuel Asante Gyamerah
Publication year - 2019
Publication title -
quantitative finance and economics
Language(s) - English
Resource type - Journals
ISSN - 2573-0134
DOI - 10.3934/qfe.2019.4.739
Subject(s) - volatility clustering , autoregressive conditional heteroskedasticity , econometrics , cryptocurrency , normal inverse gaussian distribution , kurtosis , volatility (finance) , financial models with long tailed distributions and volatility clustering , economics , generalized normal distribution , skewness , normal distribution , gaussian , financial economics , implied volatility , mathematics , computer science , forward volatility , statistics , gaussian process , gaussian random field , physics , computer security , quantum mechanics
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