sopuru wilfred | University of Nigeria, Nsukka (original) (raw)
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In this work, AR-GARCH-BEKK models were developed for volatility of Bitcoin during Covid-19 pande... more In this work, AR-GARCH-BEKK models were developed for volatility of Bitcoin during Covid-19 pandemic using data from South African stock market. Results of the analysis show that bitcoin cannot be considered as safe haven for stocks in South Africa since it is weakly correlated with stock and had a high volatility during the pandemic. Both models suggested that there was no evidence of cross volatility or market spill over effects. Full-BEKK-GARCH model was a better fit to the data.
In this work, AR-GARCH-BEKK models were developed for volatility of Bitcoin during Covid-19 pande... more In this work, AR-GARCH-BEKK models were developed for volatility of Bitcoin during Covid-19 pandemic using data from South African stock market. Results of the analysis show that bitcoin cannot be considered as safe haven for stocks in South Africa since it is weakly correlated with stock and had a high volatility during the pandemic. Both models suggested that there was no evidence of cross volatility or market spill over effects. Full-BEKK-GARCH model was a better fit to the data.