Volatility estimation for Bitcoin: A comparison of GARCH models

摘要

We explore the optimal conditional heteroskedasticity model with regards to goodness-of-fit to Bitcoin price data. It is found that the best model is the AR-CGARCH model, highlighting the significance of including both a short-run and a long-run component of the conditional variance. Crown Copyright (C) 2017 Published by Elsevier B.V. All rights reserved.