The Day of the Week Effect in Return of the Five Cryptocurrencies Market

Abstract

Cryptocurrency works on a system that admits people to make payments all over the world without the requirement for any intermediary. Most digital currencies experience frequent periods of intense volatility. This paper examines the day of the week effects in return and volatility on Bitcoin, Ethereum, Ripple, Litecoin, and Tether currencies. To estimate volatile variance, this research uses five ARCH family models: ARCH, GARCH, EGARCH, TARCH and PARCH Models. The best models are derived based on Akaike Info Criterion and Schwarz Criterion. The sample periods vary based on the date of the initial release of each currency up to 31 December 2019. Results indicate the Power ARCH (PARCH) is the best model for Bitcoin and Litecoin, Threshold ARCH (TARCH) model is the best for Ethereum, Ripple, and Litecoin, and the EGARCH model is for Tether. Each model shows a different day of the week effects on each currency.