Modelling Volatility of Cryptocurrencies

Student: Grigoreva Tatyana

Educational Programme: Financial Markets and Financial Institutions (Master)

Year of Graduation: 2020

The aim of this research is to define, fit and check GARCH volatility models for the most popular cryptocurrencies (Bitcoin, Ethereum and Ripple). We use the cryptocurrencies data from May 2015 to May 2020 from Investing.com. 60 different GARCH-models of volatility were fitted and checked in this research. This models are statistically significant. The quality of the fitted models was checked using the AIC and BIC information criteria and a 95% VaR (Value at Risk) backtest. As a result, it is possible to reduce the number of VaR violations using GARCH models. The most general ALLGARCH model with GED and sGED distributions showed good results for all cryptocurrencies considered. In addition, we found some links among the long-term component of cryptocurrencies volatility and macroeconomic indicators of China and global stock indexes.

Student Theses at HSE must be completed in accordance with the University Rules and regulations specified by each educational programme.

Summaries of all theses must be published and made freely available on the HSE website.

The full text of a thesis can be published in open access on the HSE website only if the authoring student (copyright holder) agrees, or, if the thesis was written by a team of students, if all the co-authors (copyright holders) agree. After a thesis is published on the HSE website, it obtains the status of an online publication.

Student theses are objects of copyright and their use is subject to limitations in accordance with the Russian Federation’s law on intellectual property.

In the event that a thesis is quoted or otherwise used, reference to the author’s name and the source of quotation is required.

Search all student theses