Volatility estimation for Bitcoin: A comparison of GARCH models (original) (raw)

Bitcoin is undoubtedly the most popular cryptocurrency. Earlier studies have found that Bitcoin is mainly used as an asset, and hence analysing its volatility is of great importance. In this article, we explore the optimal conditional heteroskedasticity model with regards to goodness-of-fit to the data. It is found that the best conditional heteroskedasticity model is the AR-CGARCH model, highlighting the significance of including both a short-run and a long-run component of the conditional variance.