From discrete to continuous: Garch volatility modeling of the Bitcoin

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dc.contributor.authorArı, Yakup
dc.date.accessioned2022-09-12T10:28:51Z
dc.date.available2022-09-12T10:28:51Z
dc.date.issued2022
dc.departmentALKÜ, Fakülteler, İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümü
dc.description.abstractThe aim of the study is to determine the most appropriate discrete model for the volatility of Bitcoin returns using the discretetime GARCH model and its extensions and compare it with the Lévy-driven continuous-time GARCH model. For this purpose, the volatility of Bitcoin returns is modeled using daily data of the Bitcoin / United States Dollar exchange rate. By comparing discrete-time models according to information criteria and likelihood values, the All-GARCH model with Johnson’s-SU innovations is found as the most adequate model. The persistence of the volatility and half-life of the volatility of the returns are calculated according to the estimation of the discrete model. This discrete model has been compared with the continuous model in which the Lévy increments are derived from the compound Poisson process using various error measurements. In conclusion, it is found that the continuous-time GARCH model shows a better performance in predicting volatility.
dc.identifier.doi10.21121/eab.819934
dc.identifier.endpage370en_US
dc.identifier.issue3en_US
dc.identifier.startpage353en_US
dc.identifier.urihttps://hdl.handle.net/20.500.12868/1545
dc.identifier.urihttps://dergipark.org.tr/en/pub/eab/issue/69721/819934
dc.identifier.volume22en_US
dc.identifier.wosqualityN/A
dc.indekslendigikaynakWeb of Science
dc.language.isoen
dc.publisherEge Akademik Bakış
dc.relation.ispartofEge Akademik Bakış
dc.relation.publicationcategoryMakale - Ulusal Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/openAccess
dc.subjectVolatility
dc.subjectGARCH
dc.subjectCompound Poisson
dc.subjectLévy Process
dc.subjectBitcoin
dc.subjectStochastic Modeling
dc.titleFrom discrete to continuous: Garch volatility modeling of the Bitcoin
dc.typeArticle

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