KRİPTO PARALARIN VOLATİLİTE DİNAMİKLERİNİN İNCELENMESİ: GARCH MODELLERİ ÜZERİNE BİR UYGULAMA

Abstract

In this study, the volatility characteristics of the return rates of Bitcoin and Ripple, which emerged after the 2008 global financial crisis and are not yet fully accepted as currency, are modeled. In the empirical modeling, we employed both traditional ARCH/GARCH models and EGARCH-TGARCH models which take asymmetry into consideration. We compare alternative models according to their forecast performance and asymmetric TGARCH model is found as the most successful model according to forecast performance criteria. Also, when we examine conditional variance obtained from the most successful model, we observe that higher volatility periods overlap with the periods of high price movements of the analyzed crypto currencies.