比特币冲击是否主导其他加密货币?通过基于 GARCH 的动态模型进行研究

IF 2.5 Q2 ECONOMICS
Hassan Javed, Naveed Khan
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引用次数: 0

摘要

本文利用 2011 年 6 月至 2020 年 6 月期间的每日数据,研究了从比特币到其他七种主要加密货币的回报率和波动率冲击的影响。我们使用 ARMA-GARCH 模型以及 ARMA-TGARCH 和 ARMA-EGARCH 非对称模型的扩展,研究了从比特币到其他加密货币的回报率和波动率传导。此外,我们还采用动态条件相关性和非对称动态条件相关性(DCC 和 ADCC)模型来衡量条件相关性的时变性质。研究结果表明,除了一些效率较低的加密货币外,比特币在收益和波动溢出方面向其他加密货币传递冲击的证据确凿。此外,大多数加密货币还反映出具有非对称效应的时变动态条件相关性的有力证据,这也从方法论的角度增加了现有文献的显著新颖性。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Do Bitcoin Shocks Dominate Other Cryptocurrencies? An Examination Through GARCH Based Dynamic Models

In this paper, we examine the effects of return and volatility shocks captured from Bitcoin to other seven types of major cryptocurrencies by employing the daily data spanning from June 2011 to June 2020. We examine return and volatility transmission from Bitcoin to other cryptocurrencies using ARMA-GARCH model and extension of the asymmetric model of ARMA-TGARCH and ARMA-EGARCH. Moreover, we apply Dynamic Conditional Correlation and Asymmetric Dynamic Conditional Correlation (DCC and ADCC) models to measure the time-varying nature of conditional correlation. The results of the study show strong evidence of shocks transmission from Bitcoin to other cryptocurrencies in terms of both returns and volatility spillover, except for some less inefficient cryptocurrencies. In addition, the majority of the cryptocurrencies also reflect strong evidence about time-varying dynamic conditional correlation with asymmetric effects that adds ups the significant novelty in the existing literature from the methodological perspective as well.

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来源期刊
CiteScore
3.00
自引率
0.00%
发文量
34
期刊介绍: The current remarkable growth in the Asia-Pacific financial markets is certain to continue. These markets are expected to play a further important role in the world capital markets for investment and risk management. In accordance with this development, Asia-Pacific Financial Markets (formerly Financial Engineering and the Japanese Markets), the official journal of the Japanese Association of Financial Econometrics and Engineering (JAFEE), is expected to provide an international forum for researchers and practitioners in academia, industry, and government, who engage in empirical and/or theoretical research into the financial markets. We invite submission of quality papers on all aspects of finance and financial engineering. Here we interpret the term ''financial engineering'' broadly enough to cover such topics as financial time series, portfolio analysis, global asset allocation, trading strategy for investment, optimization methods, macro monetary economic analysis and pricing models for various financial assets including derivatives We stress that purely theoretical papers, as well as empirical studies that use Asia-Pacific market data, are welcome. Officially cited as: Asia-Pac Financ Markets
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