Half-Life Volatility Measure of the Returns of Some Cryptocurrencies

HTML  XML Download Download as PDF (Size: 1658KB)  PP. 15-28  
DOI: 10.4236/jfrm.2019.81002    1,460 Downloads   3,994 Views  Citations

ABSTRACT

This paper explores the half-life volatility measure of three cryptocurrencies (Bitcoin, Litecoin and Ripple). Two GARCH family models were used (PGARCH (1, 1) and GARCH (1, 1)) with the student-t distribution. It was realised that, the PGARCH (1, 1) was the most appropriate model. Therefore, it was used in determining the half-life of the three returns series. The results revealed that, the half-life was 3 days, 6 days and 4 days for Bitcoin, Litecoin and Ripple respectively. This shows that, the three coins have strong mean reversion and short half-life and that it takes the respective days for volatility in each of coin to return half way back without further volatility.

Share and Cite:

John, A. , Logubayom, A. and Nero, R. (2019) Half-Life Volatility Measure of the Returns of Some Cryptocurrencies. Journal of Financial Risk Management, 8, 15-28. doi: 10.4236/jfrm.2019.81002.

Copyright © 2024 by authors and Scientific Research Publishing Inc.

Creative Commons License

This work and the related PDF file are licensed under a Creative Commons Attribution 4.0 International License.