Tan, Shay Kee and Chan, Jennifer So Kuen and Ng, Kok Haur (2020) On the speculative nature of cryptocurrencies: A study on Garman and Klass volatility measure. Finance Research Letters, 32. p. 101075. ISSN 1544-6123, DOI https://doi.org/10.1016/j.frl.2018.12.023.
Full text not available from this repository.Abstract
We propose to measure volatilities of 102 active cryptocurrencies using Garman and Klass (GK) volatility measures and model the measures using asymmetric bilinear Conditional Autoregressive Range (ABL-CARR) model. Results reveal volatility persistence and leverage effects which can improve the predictability of volatility, reduce risk and hence lessen the level of speculation in cryptocurrency market. We further relate volatility features for the top five cryptocurrencies to their time of development and transaction speed and recommend investors to distinguish between long-term or short-term speculation in their investment profile. © 2018 Elsevier Inc.
| Item Type: | Article |
|---|---|
| Funders: | Fundamental Research Grant Scheme (FRGS) with grant no: FP041-2017A of the Ministry of Higher Education, Malaysia |
| Uncontrolled Keywords: | Volatility; GK measure; Cryptocurrencies; CARR model |
| Subjects: | Q Science > Q Science (General) Q Science > QA Mathematics |
| Divisions: | Faculty of Science > Institute of Mathematical Sciences |
| Depositing User: | Ms. Juhaida Abd Rahim |
| Date Deposited: | 15 Jun 2020 03:01 |
| Last Modified: | 15 Jun 2020 03:01 |
| URI: | http://eprints.um.edu.my/id/eprint/24823 |
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