Asymmetric Volatility Modelling Using Threshold-GARCH Approach of Various Cryptocurrencies, Financial Markets, and Investment Alternatives

Surabhi , Deepa Shrivastava , Satish K Mittal

Threshold GARCH, ARCH, ARMA, Asymmetric Volatility, Cryptocurrencies, Financial Markets.

Asymmetric volatility often acknowledged as the leverage effect is described as an indicator of investment decision-making by various financial investors. Simple ARCH/GARCH models are incapable of dealing with the impact of leverage effect on financial markets. Hence, this paper is an attempt to capture the impact of asymmetric news, happenings, and events causing volatility in various Cryptocurrencies, Financial Markets, and Investment Alternatives using “the T-GARCH model”, an extension of the simple “GARCH” model. The study undertakes the dataset of daily close prices from FY 2015 to FY 2020 of financial markets and investment alternatives namely; NYSE DJ, NIFTY, SENSEX, Crude Oil, Gold, and USD along with 10 cryptocurrencies namely, Binance coin, Bitcoin cash, Bitcoin SV, Bitcoin, EOS, Ethereum, Litecoin, Monero, Tether, and Ripple, from emerging cryptocurrency market extracted from yahoo finance and coin market cap. The empirical results provide a viewpoint of the reaction of leverage effect on selected time series of financial markets and alternatives. We observe that some of the time series are showing the inverted asymmetric effect on the market prices, that is, the positive news or events have a more significant impact on the price volatility than the bad ones. These findings will benefit largely the investors in making an essential financial decision in times of uncertainty and turmoil.

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"Asymmetric Volatility Modelling Using Threshold-GARCH Approach of Various Cryptocurrencies, Financial Markets, and Investment Alternatives", IJSDR - International Journal of Scientific Development and Research (www.IJSDR.org), ISSN:2455-2631, Vol.9, Issue 1, page no.651-672, January-2024, Available :https://ijsdr.org/papers/IJSDR2401093.pdf

Volume 9 Issue 1, January-2024

Pages : 651-672

Paper Reg. ID: IJSDR_301993

Published Paper Id: IJSDR2401093

Downloads: 000117

Research Area: Science and Technology

Country: -, -, India

Published Paper PDF: https://ijsdr.org/papers/IJSDR2401093

Published Paper URL: https://ijsdr.org/viewpaperforall?paper=IJSDR2401093

ISSN: 2455-2631 | IMPACT FACTOR: 9.15 Calculated By Google Scholar | ESTD YEAR: 2016

An International Scholarly Open Access Journal, Peer-Reviewed, Refereed Journal Impact Factor 9.15 Calculate by Google Scholar and Semantic Scholar | AI-Powered Research Tool, Multidisciplinary, Monthly, Multilanguage Journal Indexing in All Major Database & Metadata, Citation Generator

Publisher: IJSDR(IJ Publication) Janvi Wave

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