Essays about: "GRJ-GARCH"

Found 1 essay containing the word GRJ-GARCH.

  1. 1. Volatility of Bitcoin in a European Context

    University essay from Lunds universitet/Statistiska institutionen

    Author : Emilia Sjöberg; [2019]
    Keywords : GARCH; IGARCH; GRJ-GARCH; Jumps; Bitcoin; cryptocurrency; European market; Laplace distribution; Mathematics and Statistics;

    Abstract : In 2009, Bitcoin was introduced to the world. Today, ten years later, there are still gaps in the research of how to model the cryptocurrency. In this thesis, the capacities of different volatility models to capture the high volatility of Bitcoin returns are investigated. READ MORE