Linearity extensions of the market model: a case of the top 10 cryptocurrency prices during the pre-COVID-19 and COVID-19 periods (original) (raw)
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Modeling and Forecasting Cryptocurrency Returns and Volatility: An Application of GARCH Models
Universal journal of finance and economics , 2022
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This study aimed to investigate the interactions between Bitcoin to euro, gold, and STOXX50 during the period of COVID-19. First, a bibliometric analysis based on the R package was applied to highlight the research trends in the field during the period of the COVID-19 pandemic. While investigating the effects of the pandemic on Bitcoin, the number of cases of COVID-19 was used as a proxy. Using daily data for the period 1 March 2020 to 3 March 2020 and based on a vector autoregressive model, impulse response, and variance decomposition were utilized to analyze the dynamic relationships among the variables. The results revealed that the COVID-19 cases and gold hurt the exchange rate of Bitcoin to euro, while there was great volatility regarding the response of Bitcoin to a shock of STOXX50. The Granger causality test was constructed to investigate the relationships among the variables. The results show the presence of unidirectional causality running from new cases to STOXX50 and fro...