Original paper

Volatility estimation for Bitcoin: Replication and robustness

Amélie Charles
2
,
Olivier Darné
20
HAL (Le Centre pour la Communication Scientifique Directe)
Published: Jan 1, 2018
Abstract
Katsiampa [Volatility estimation for Bitcoin: A comparison of GARCH models. Economics Letters, 158, 3–6, 2017] compares several GARCH-type models to estimate volatility for Bitcoin returns. First, we propose a replication study (i) by verification, using the same sample and period (July 2010 to October 2016), and (ii) by reproduction, extending the sample until March 2018. We obtain only partially different results from those of Kasiampa (2017)...
Paper Fields
Paper Details
Title
Volatility estimation for Bitcoin: Replication and robustness
Published Date
Jan 1, 2018
Journal
HAL (Le Centre pour la Communication Scientifique Directe)
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