64. Analyzing Volatility Patterns of Bitcoin Using the GARCH Family
EEG Investiga7 Okt 2025

64. Analyzing Volatility Patterns of Bitcoin Using the GARCH Family

Muneer, S., Leal, C. C., & Oliveira, B. (2025). Analyzing Volatility Patterns of Bitcoin Using the GARCH Family Models. Operations Research Forum, 6(2). https://doi.org/10.1007/s43069-025-00482-5


This paper analyzes and forecasts Bitcoin volatility using the GARCH family of models. Bitcoin, known for its speculative nature and high volatility compared to gold, exhibits volatility persistence and long memory, justifying the use of GARCH models. The study employs daily closing prices from July 18, 2015, to September 4, 2023, totaling 2,970 observations. Six AR(1)-GARCH-type models were tested under a Gaussian distribution, with data divided into in-sample and out-of-sample periods. The AR(1)-ACGARCH(1,1) model provided the best fit according to log-likelihood, AIC, SIC, and HQ criteria, highlighting significant volatility persistence and a negative leverage effect. For volatility forecasting, the AR(1)-PGARCH(1,1) model achieved the best predictive performance, minimizing MAE, Theil, and MAPE errors. Results suggest that asymmetric models capture Bitcoin’s volatility dynamics more accurately. The findings emphasize Bitcoin’s relevance for portfolio and risk management and recommend future research using non-Gaussian distributions, such as the t-distribution, to enhance predictive accuracy.

Denne episoden er hentet fra en åpen RSS-feed og er ikke publisert av Podme. Den kan derfor inneholde annonser.

Episoder(108)

20. A Discomforting Pedagogy of Poverty: Discourses, Representations and Vulnerabilities

20. A Discomforting Pedagogy of Poverty: Discourses, Representations and Vulnerabilities

Hutton, M., & Heath, T. (2025). A Discomforting Pedagogy of Poverty: Discourses, Representations and Vulnerabilities. Sociology. https://doi.org/10.1177/00380385251380772This article proposes a “pedag...

20 Mar 10min

19. Exploring the longitudinal impact of entrepreneurial education on entrepreneurial competences and intentions: evidence of an asymmetric polarization effect

19. Exploring the longitudinal impact of entrepreneurial education on entrepreneurial competences and intentions: evidence of an asymmetric polarization effect

Almeida, D. C., Afonso, P., Ferreira, L. P., & Soares, A. M. (2026). Exploring the longitudinal impact of entrepreneurial education on entrepreneurial competences and intentions: evidence of an asymme...

10 Mar 5min

18. Framework for cross-border governance: from cross-border critical factors to sustainable development

18. Framework for cross-border governance: from cross-border critical factors to sustainable development

Krüger, C., Pennabel, A. F., Paschoalotto, M. A. C., Guimarães, F. H. C. B., Medeiros Kruger, N. R., Meneguzzo, M., Passador, C. S., & Ferreira Caldana, A. C. (2024). Framework for cross-border govern...

6 Mar 11min

17. Do earnouts create the right incentives? Earnings management around earnout-based acquisitions

17. Do earnouts create the right incentives? Earnings management around earnout-based acquisitions

Coelho, A. P., & Loureiro, G. (2025). Do earnouts create the right incentives? Earnings management around earnout-based acquisitions. Journal of Financial Research. https://doi.org/10.1111/jfir.70007T...

3 Mar 13min

16. 30th birthday celebrations: Views from the top about future management research and practice

16. 30th birthday celebrations: Views from the top about future management research and practice

Ratten, V., Newman, A., Palacios-Marqués, D., Mckeown, T., Casais, B., Prentice, C., Nuñez-Sánchez, J. M., Liñán, F., Stanton, P., Le, H., Aseri, M. A., & Walton, S. (2026). 30th birthday celebrations...

24 Feb 11min

15. Between promise and practice: a scoping review of the democratic outcomes of youth participation in local governance

15. Between promise and practice: a scoping review of the democratic outcomes of youth participation in local governance

Ramos, F., Tavares, A. F., & da Cruz, N. F. (2026). Between promise and practice: a scoping review of the democratic outcomes of youth participation in local governance. Children and Youth Services Re...

20 Feb 12min

14. Science and productivity in European firms: how do regional innovation modes matter?

14. Science and productivity in European firms: how do regional innovation modes matter?

Barbosa, N., & Faria, A. P. (2026). Science and productivity in European firms: how do regional innovation modes matter? European Planning Studies, 34(1), 84–106. https://doi.org/10.1080/09654313.2025...

17 Feb 5min

13. Balancing the double-edged sword of artificial Intelligence: Job demands, resources, and Work–Life balance

13. Balancing the double-edged sword of artificial Intelligence: Job demands, resources, and Work–Life balance

Pinho, J. C., Fontes, A., & Santos, G. G. (2026). Balancing the double-edged sword of artificial Intelligence: Job demands, resources, and Work–Life balance. Computers in Human Behavior Reports, 21, 1...

13 Feb 9min

Populært innen Vitenskap

fastlegen
tingenes-tilstand
jss
liberal-halvtime
rekommandert
forskningno
sinnsyn
villmarksliv
smart-forklart
dekodet-2
tomprat-med-gunnar-tjomlid
fjellsportpodden
rss-nysgjerrige-norge
noen-har-snakket-sammen
rss-inn-til-kjernen-med-sunniva-rose
rss-overskuddsliv
rss-paradigmepodden
vett-og-vitenskap-med-gaute-einevoll
rss-rekommandert
rss-bondevennen