Dynamic volatility modelling of Bitcoin using time-varying transition probability Markov-switching GARCH model
Bitcoin (BTC), as the dominant cryptocurrency, has attracted tremendous attention lately due to its excessive volatility. This paper proposes the time-varying transition probability Markov-switching GARCH (TV-MSGARCH) models incorporated with BTC daily trading volume and daily Google searches singly...
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| Main Authors: | , , , |
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| Format: | Article |
| Published: |
Elsevier
2021
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| Subjects: | |
| Online Access: | http://eprints.um.edu.my/26435/ |
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| Institution: | Universiti Malaya |