Analyzing volatility patterns of bitcoin using the GARCH family models

DOI10.1007/S43069-025-00482-5MaRDI QIDQ6955588zbMATH OpenFDO

Authors Saqib Muneer, Cristiana Cerqueira Leal, Benilde Oliveira

Publication date 22 July 2025

Published in SN Operations Research Forum (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S43069-025-00482-5

zbMATH Keywords

bitcoinforecastingGARCH modelsvolatility

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial science and mathematical finance (91G99)

Cites work

• A new look at the statistical model identification
• A Test for Normality of Observations and Regression Residuals
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Estimating the dimension of a model
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 3930122 (Why is no real title available?)
• On Bayesian Modeling of Fat Tails and Skewness
• Price clustering in bitcoin
• Speculative bubbles in bitcoin markets? An empirical investigation into the fundamental value of bitcoin
• THE PROBABLE ERROR OF A MEAN
• Threshold heteroskedastic models
• Volatility estimation for Bitcoin: a comparison of GARCH models

This page was built for publication: Analyzing volatility patterns of bitcoin using the GARCH family models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6955588)