Abstract
This paper analyzes the role of COVID-19 pandemic crisis in determining and forecasting conditional volatility returns for a set of eight cryptocurrencies through an asymmetric GARCH modeling approach. The findings report that the COVID-19 pandemic exerts a positive effect on the conditional volatility of those returns, while explicitly considering the pandemic event improves volatility predictions.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have