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Inventi Impact: Microfinance & Banking

Articles

  • Inventi:mmb/28772/19
    Half-Life Volatility Measure of the Returns of Some Cryptocurrencies
    Research 2019 : July - September
    Abonongo John, Anuwoje Ida Logubayom, Raymond Nero

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

    How to Cite this Article
    Attribution/ CC Compliant Citation: John, A., Logubayom, A. I., & Nero, R. (2019); Half-Life Volatility Measure of the\nReturns of Some Cryptocurrencies; Journal of Financial Risk Management, 8, 15-28.\nhttps://doi.org/10.4236/jfrm.2019.81002\nhttp://creativecommons.org/licenses/by/4.0/\nSome formatting elements, header, footer, logos, dates and pagination were modified while adapting this article.
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