A combined framework to explore cryptocurrency volatility and dependence using multivariate GARCH and Copula modeling

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

A combined framework to explore cryptocurrency volatility and dependence using multivariate GARCH and Copula modeling

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

A combined framework to explore cryptocurrency volatility and dependence using multivariate GARCH and Copula modeling

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50206 - Finance

Projekt

<a href="/cs/project/GA23-06606S" target="_blank" >GA23-06606S: Do hlubin decentralizovaných financí: Tržní mikrostruktura, behaviorální a psychologické vzorce</a><br>

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2024

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Physica. A : Statistical Mechanics and its Applications

ISSN

0378-4371

e-ISSN

1873-2119

Svazek periodika

652

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

10

Strana od-do

130046

Kód UT WoS článku

001301251400001

EID výsledku v databázi Scopus

2-s2.0-85201593660