Bitcoin returns and risk: A general GARCH and GAS analysis
Victor Troster,A. Tiwari,Muhammad Shahbaz,D. Macedo
2019 · DOI: 10.1016/J.FRL.2018.09.014
Finance Research Letters · 117 Citations
TLDR
It is found that GAS models with heavy-tailed distributions provide the best out-of-sample forecast and goodness- of-fit properties to bitcoin returns and risk modelling, illustrating the importance of modelling excess kurtosis for bitcoin returns.
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