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 , kurtosis , normal inverse gaussian distribution , volatility (finance) , financial models with long tailed distributions and volatility clustering , economics , skewness , generalized normal distribution , normal distribution , gaussian , financial economics , implied volatility , mathematics , forward volatility , computer science , statistics , gaussian process , gaussian random field , physics , computer security , quantum mechanics