Cryptocurrencies intraday high-frequency volatility spillover effects using univariate and multivariate GARCH models
Year of publication: |
2022
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Authors: | Ampountolas, Apostolos |
Published in: |
International Journal of Financial Studies : open access journal. - Basel : MDPI, ISSN 2227-7072, ZDB-ID 2704235-2. - Vol. 10.2022, 3, Art.-No. 51, p. 1-22
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Subject: | bitcoin price forecasting | cryptocurrency | DCC-GARCH model | EGARCH model | Ethereum | GARCH models | GJR-GARCH model | intraday volatility | Litecoin | Ripple | TGARCH model | volatility forecasting | Volatilität | Volatility | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Virtuelle Währung | Virtual currency | Spillover-Effekt | Spillover effect | Schätztheorie | Estimation theory | Börsenkurs | Share price |
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