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A volatilidade das criptomoedas: Os casos da Polygon, Solana, BitTorrent Token e VeChain
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Authors
Abstract(s)
A volatilidade no mercado das criptomoedas é um indicador de extrema importância para os investidores, já que lhes permite gerir o risco de investimento e definir estratégias que resultem na maximização dos seus ganhos. Neste sentido, o foco deste estudo está em encontrar o modelo ótimo, de entre os modelos GARCH, EGARCH e TGARCH, que melhor descreva a volatilidade dos retornos diários da MATIC, SOL, BTT e VET – quatro criptomoedas com uma presença relativamente menor neste mercado, por comparação com a Bitcoin. A seleção do modelo ótimo é feita com recurso ao critério de qualidade estatística AIC. Para o período da amostra escolhido, a evidência empírica sugere que os modelos EGARCH(1,1) e GARCH(1,1) são os mais adequados para descrever a volatilidade dos retornos da MATIC e da VET, respetivamente. Nos casos da SOL e BTT, o insucesso na validação de todos os pressupostos à aplicação dos modelos GARCH revela que estes não são os mais adequados para descrever as criptomoedas em estudo.
ABSTRACT: Volatility in cryptocurrency market is an extremely important indicator for investors, as it allows them to manage their investment risk and to define strategies that will result in profit maximization. To that extent, this study focuses in finding the optimal model, among GARCH, EGARCH and TGARCH models, that best describes the daily returns’ volatility of MATIC, SOL, BTT and VET – four cryptocurrencies with relatively less presence in the market, compared with Bitcoin. Optimal model selection is made by using the AIC statistical quality criterion. For the chosen sample period, empirical evidence suggests that EGARCH(1,1) and GARCH(1,1) are the most suitable models to describe the returns’ volatility of MATIC and VET, respectively. In the cases of SOL and BTT, the lack of success in validating all the assumptions needed to apply GARCH models reveals that these models are not the most adequate to describe the cryptocurrencies under study.
ABSTRACT: Volatility in cryptocurrency market is an extremely important indicator for investors, as it allows them to manage their investment risk and to define strategies that will result in profit maximization. To that extent, this study focuses in finding the optimal model, among GARCH, EGARCH and TGARCH models, that best describes the daily returns’ volatility of MATIC, SOL, BTT and VET – four cryptocurrencies with relatively less presence in the market, compared with Bitcoin. Optimal model selection is made by using the AIC statistical quality criterion. For the chosen sample period, empirical evidence suggests that EGARCH(1,1) and GARCH(1,1) are the most suitable models to describe the returns’ volatility of MATIC and VET, respectively. In the cases of SOL and BTT, the lack of success in validating all the assumptions needed to apply GARCH models reveals that these models are not the most adequate to describe the cryptocurrencies under study.
Description
Dissertação de Mestrado, Gestão de Empresas (MBA), 23 de fevereiro de 2023, Universidade dos Açores.
Keywords
Volatility Cripto Moeda
Citation
Ferreira, Marisa Margarida Melo. (2022). "A volatilidade das criptomoedas: Os casos da Polygon, Solana, BitTorrent Token e VeChain". 42 p. (Dissertação de Mestrado em Gestão de Empresas (MBA)). Ponta Delgada: Universidade dos Açores, 2022. Disponível em http://hdl.handle.net/10400.3/6715