Structural breaks and double long memory of cryptocurrency prices: A comparative analysis from Bitcoin and Ethereum

Walid Mensi, Khamis Hamed Al-Yahyaee*, Sang Hoon Kang

*المؤلف المقابل لهذا العمل

نتاج البحث: المساهمة في مجلةArticleمراجعة النظراء

90 اقتباسات (Scopus)

ملخص

This study explores the impacts of structural breaks (SB) on the dual long memory levels of Bitcoin and Ethereum price returns. We identify dual long memory and structural changes on cryptocurrency markets using four different generalized autoregressive conditional heteroskedasticity models (e.g., GARCH, FIGARCH, FIAPARCH, and HYGARCH). Furthermore, the persistence level of both returns and volatility decreases after accounting for long memory and switching states. Finally, the FIGARCH model with SB variables provides a comparatively superior forecasting accuracy performance. These findings have significant implications for both cryptocurrency allocations and portfolio management.

اللغة الأصليةEnglish
الصفحات (من إلى)222-230
عدد الصفحات9
دوريةFinance Research Letters
مستوى الصوت29
المعرِّفات الرقمية للأشياء
حالة النشرPublished - يونيو 2019

ASJC Scopus subject areas

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