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Summary Statistics of GARCH (1,1).

Summary Statistics of GARCH (1,1).

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This paper attempts to understand the dynamic interrelationships and financial asset capabilities of Bitcoin by analysing several aspects of its volatility vis-a-vis other asset classes. This study aims to analyse the volatility dynamics of the returns of Bitcoin. An asymmetric GARCH model (EGARCH) is used to investigate whether Bitcoin may be usef...

Context in source publication

Context 1
... (α) in Table 2 represents how volatility reacts to new information, while beta represents volatility persistence. Furthermore, alpha + beta shows the overall measurement of volatility persistence. ...