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

Walid Mensi; Khamis Al Yahyaee; Sang Hoon Kang

doi:10.1016/j.frl.2018.07.011

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

Walid Mensi, Khamis Al Yahyaee^*, Sang Hoon Kang

^*Corresponding author for this work

Economics & Finance

Research output: Contribution to journal › Article › peer-review

70 Citations (SciVal)

Abstract

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.

Original language	English
Journal	Finance Research Letters
DOIs	https://doi.org/10.1016/j.frl.2018.07.011
Publication status	Accepted/In press - Jan 1 2018

Keywords

Bitcoin
Ethereum
GARCH family models
Long memory
Structural breaks

ASJC Scopus subject areas

Finance

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10.1016/j.frl.2018.07.011

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

abstract = "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.",

keywords = "Bitcoin, Ethereum, GARCH family models, Long memory, Structural breaks",

author = "Walid Mensi and {Al Yahyaee}, Khamis and Kang, {Sang Hoon}",

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AU - Al Yahyaee, Khamis

AU - Kang, Sang Hoon

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Y1 - 2018/1/1

N2 - 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.

AB - 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.

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KW - Ethereum

KW - GARCH family models

KW - Long memory

KW - Structural breaks

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

Abstract

Keywords

ASJC Scopus subject areas

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