Μελέτη της μεταβλητότητας του Bitcoin κατά τη διάρκεια της πανδημίας COVID-19 μέσω κατάλληλων μοντέλων GARCH
Research study in the volatility of Bitcoin during the COVID 19 pandemic, by the use of appropriate GARCH models
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Abstract
The aim of this research is to analyze the Bitcoin’s variability and deliberate COVID-19 effects on crypto- market. The data bases which used, consist of financial indexes, and mainly returns for cryptocurrencies such as Bitcoin (BTC), Ethereum (ETH) και BinanceCoin (BNB). The examined period considers the beginning and the course of the Pandemic, and the way it has affected the international market. We separated the sample in two periods: the first period is called “Before COVID-19” and the second period is called “During COVID-19”, the volatility in crypto-market is being modeled, before and during the Pandemic. The time period which is chosen is a benchmark and that because after the mid- March 2020, the first big wave of COVID-19 cases had begun, as well as the first big outbreak of deaths. Furthermore, variations are applied from GARCH (p,q),ΤGARCH (p,q) and EGARCH (p,q) models, in order to estimate the volatility of the daily returns and maybe leverage effect apropos of these cryptocurrencies Bitcoin, Ethereum and BinanceCoin. The results we inferred, offer the opportunity to investors to comprehend how to invest rationally and carefully in a Pandemic period. The analysis and the conclusions are reliable for the reason that the appropriate researches had been carried out on models’ residuals. Taking all above into consideration, the COVID-19 Pandemic provoked crisis in financial international markets and has affected in a negative way the investors. The assumptions of the analysis are able to help the investors in order to reconsider their strategies and decisions to minimize the possible risk in the crypto-market.