TITLE:
Half-Life Volatility Measure of the Returns of Some Cryptocurrencies
AUTHORS:
Abonongo John, Anuwoje Ida Logubayom, Raymond Nero
KEYWORDS:
Half-Life, Cryptocurrencies, Volatility, Mean Reversion, GARCH
JOURNAL NAME:
Journal of Financial Risk Management,
Vol.8 No.1,
March
13,
2019
ABSTRACT:
This paper explores the half-life volatility measure of three cryptocurrencies (Bitcoin, Litecoin and Ripple). Two GARCH family models were used (PGARCH (1, 1) and GARCH (1, 1)) with the student-t distribution. It was realised that, the PGARCH (1, 1) was the most appropriate model. Therefore, it was used in determining the half-life of the three returns series. The results revealed that, the half-life was 3 days, 6 days and 4 days for Bitcoin, Litecoin and Ripple respectively. This shows that, the three coins have strong mean reversion and short half-life and that it takes the respective days for volatility in each of coin to return half way back without further volatility.