Details

Autor(en) / Beteiligte

• Cheikh, Nidhaleddine Ben
• Zaied, Younes Ben
• Chevallier, Julien

Titel

Asymmetric volatility in cryptocurrency markets: New evidence from smooth transition GARCH models

Ist Teil von

• Finance research letters, 2020-07, Vol.35, p.101293, Article 101293

Ort / Verlag

Elsevier Inc

Erscheinungsjahr

2020

Quelle

Alma/SFX Local Collection

Beschreibungen/Notizen

• •Asymmetric volatility dynamic for Bitcoin, Ethereum, Ripple and Litecoin.•Smooth Transition GARCH (ST-GARCH) implemented.•Inverted asymmetric reaction with positive shocks increasing volatility more than negative shocks.•Safe haven hypothesis supported in the cryptocurrency markets. This paper investigates the presence of asymmetric volatility dynamics in Bitcoin, Ethereum, Ripple, and Litecoin. Asymmetric effects between good and bad news are traditionally modeled using threshold GARCH models that allow only for two possible variance regimes. We experiment a slightly flexible specification for the conditional variance by using a Smooth Transition GARCH (ST-GARCH) model, where a continuum of intermediate states is allowed between the two extreme volatility regimes. We feature an inverted asymmetric reaction for the majority of cryptocurrencies. The presence of positive return-volatility relationship, which is different from other traditional assets, supports the safe-haven hypothesis in cryptocurrencies.