A combined framework to explore cryptocurrency volatility and dependence using multivariate GARCH and Copula modeling
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F24%3A00599012" target="_blank" >RIV/67985556:_____/24:00599012 - isvavai.cz</a>
Result on the web
<a href="https://www.sciencedirect.com/science/article/pii/S0378437124005557?via%3Dihub" target="_blank" >https://www.sciencedirect.com/science/article/pii/S0378437124005557?via%3Dihub</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.physa.2024.130046" target="_blank" >10.1016/j.physa.2024.130046</a>
Alternative languages
Result language
angličtina
Original language name
A combined framework to explore cryptocurrency volatility and dependence using multivariate GARCH and Copula modeling
Original language description
During the last years, cryptocurrencies have been increasingly becoming a relevant subject of academic researchers and investors. This paper adopts a novel framework that combines a multivariate Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) and Copula modeling in a two-stage approach to analyze the cryptocurrency volatility dynamics. By combining the aforementioned techniques, on top of showing that price movements in one cryptocurrency can significantly influence others, the use of copulas highlight how these effects can vary across different parts of distributions and thus for different types of events with respect to their extreme nature. The interconnectedness complexity should be taken into consideration when managing risk in portfolio and constructing relevant models.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50206 - Finance
Result continuities
Project
<a href="/en/project/GA23-06606S" target="_blank" >GA23-06606S: Deep dive into decentralized finance: Market microstructure, and behavioral and psychological patterns</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2024
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Physica. A : Statistical Mechanics and its Applications
ISSN
0378-4371
e-ISSN
1873-2119
Volume of the periodical
652
Issue of the periodical within the volume
1
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
10
Pages from-to
130046
UT code for WoS article
001301251400001
EID of the result in the Scopus database
2-s2.0-85201593660