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Summary Statistics of GARCH (1,1).

Summary Statistics of GARCH (1,1).

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Summary statistics of log-transformed data.
Summary Statistics of GARCH (1,1).
Summary Statistics of EGARCH.
Is Bitcoin a Safe Haven for Indian Investors? A GARCH Volatility Analysis
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  • Jul 2022
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...
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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. ...