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학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 저널정보
- 대한산업공학회 Industrial Engineering & Management Systems Industrial Engineering & Management Systems Vol.20 No.2
- 발행연도
- 2021.6
- 수록면
- 130 - 139 (10page)
- DOI
- 10.7232/iems.2021.20.2.130
이용수
초록· 키워드
오류제보하기
The cryptocurrency market is highly volatile; this can be attributed to several factors such as being an emerging market that is purely digital and still evolving with many speculations taking place aligning with behavioural finance factors such as media and investors profile. This study aims to investigate the Autoregressive Conditional Heteroskedasticity (ARCH) and the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) in forecasting selected 9 cryptocurrencies that represent over 80% of the total market capitalization. This study carries a time-series of daily data ranges from 2010 to 2020 base on each cryptocurrency starting date. The results show that the ARCH and GARCH have a significant effect in forecasting cryptocurrency market volatility which means that the past volatility of cryptocurrencies affects the current volatility of it. It also shows that bad and good news can significantly affect the conditional volatility of all cryptocurrencies returns. This study contributes to the investors’ understanding of the dynamics of the cryptocurrency market which enhances the ability to make informed decisions based on a scientific approach.
목차
ABSTRACT
1. INTRODUCTION
2. LITERATURE REVIEW
3. RESEARCH METHODOLOGY
4. EMPIRICAL RESULTS
5. CONCLUSIONS
REFERENCES
참고문헌 (32)
참고문헌 신청
Almansour, B. Y. / 2015 / The impact of market sentiment index on stock returns: An empirical investigation on Kuala lumpur stock exchange / Journal of Arts, Science & Commerce 6(3):1~28
Almansour, B. Y. / 2017 / Investment decision making among Gulf investors : Behavioural finance perspective / International Journal of Management Studies 24(1):41~71
Almansour, B. Y. / 2020 / The impact of exchange rates on bitcoin returns : Further evidence from a time series framework / International Journal of Scientific and Technology Research 9(2):4577~4581
Alvarez-Ramirez, J. / 2018 / Long-range correlations and asymmetry in the bitcoin market / Physica A : Statistical Mechanics and its Applications 492:948~955
Al-Yahyaee, K. H. / 2020 / Why cryptocurrency markets are inefficient : The impact of liquidity and volatility / The North American Journal of Economics and Finance 52:101168
Almansour, B. Y. / 2017 / Investment decision making among Gulf investors : Behavioural finance perspective / International Journal of Management Studies 24(1):41~71
Almansour, B. Y. / 2020 / The impact of exchange rates on bitcoin returns : Further evidence from a time series framework / International Journal of Scientific and Technology Research 9(2):4577~4581
Alvarez-Ramirez, J. / 2018 / Long-range correlations and asymmetry in the bitcoin market / Physica A : Statistical Mechanics and its Applications 492:948~955
Al-Yahyaee, K. H. / 2020 / Why cryptocurrency markets are inefficient : The impact of liquidity and volatility / The North American Journal of Economics and Finance 52:101168
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