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2022 | OriginalPaper | Buchkapitel

Modeling the Resilience of the Cryptocurrency Market to COVID-19

verfasst von : Viviane Naimy, Omar Haddad, Rim El Khoury

Erschienen in: Business Information Systems Workshops

Verlag: Springer International Publishing

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Abstract

This paper is the first to examine the reaction of the cryptocurrency market to COVID-19 in terms of volatility resilience. Seven GARCH-type models are used to measure, predict, and audit the volatility behavior of the most eminent cryptocurrencies that represent almost 60% of the total crypto market namely, Bitcoin (BTC), Ripple (XRP), Litecoin (LTC), Monero (XMR), Dash (DASH), and Dogecoin (DOGE). The in-sample period extends from January 1, 2015 up to November 30, 2019 and the out-of-sample period covers the COVID-19 period spanning from December 1, 2019 up to April 6, 2021. Results showed that CGARCH (1,1) and GARCH (1,1) are the prevailing models to forecast the volatility of Bitcoin and Ripple respectively in both the in- and out-of-sample periods and that advanced GARCH models appear to better predict asymmetries in cryptocurrencies’ volatilities pre and post COVID-19. Also, the COVID-19 contributed in significantly affecting the volatility of Bitcoin, Ripple, Monero and Dash.

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Titel: Modeling the Resilience of the Cryptocurrency Market to COVID-19
verfasst von: Viviane Naimy
Omar Haddad
Rim El Khoury
Verlag: Springer International Publishing
Buch: Business Information Systems Workshops
Print ISBN: 978-3-031-04215-7

Electronic ISBN: 978-3-031-04216-4

Copyright-Jahr: 2022
DOI: https://doi.org/10.1007/978-3-031-04216-4_30

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