Abstract

The complexities of Cryptocurrencies are yet to be fully explored. New evidence suggests the most popular Cryptocurrency, Bitcoin, displays many diverse stylized facts including long memory and heteroskedasticity. This note combines many of these attributes into a single model to conditionally measure the varied nature of Cryptocurrencies. Understanding these properties helps us to evaluate their investability. We fit our model to 224 different Cryptocurrencies in order to determine which of these properties exist. It is found that Cryptocurrencies in general have several unique properties including leverage effects and Student-t error distributions.

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