Review on Models of Measuring Volatility of Cryptocurrencies

2023 · doi:10.32388/igrtd8.3
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Abstract

Modeling and forecasting the prices of cryptocurrencies and measuring the volatility with the GARCH specification (Engle, 1982) has become standard among researchers. Several applications and extensions of GARCH model is proposed by Bollerslev (1986). Later, an integrated GARCH model (Engle & Bollerslev, 1986) states that the persistence parameter is equal to one. A combination of short and long memory conditional models for the mean and the volatility to analyze crypto returns is done with the help of ARFIMA (Autoregressive Fractionally Integrated Moving Average) and FIGARCH (Fractionally Integrated Generalized Autoregressive Conditionally Heteroskedastic) Model. This paper intended to understand various mathematical models for volatility of crypto currencies and also to contribute to existing literature by making an analytical study of application of these models.
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