Long- and Short-Term Cryptocurrency Volatility Components: A GARCH-MIDAS Analysis
Christian Conrad; Anessa Custovic; Éric Ghysels · 2018 · Journal of risk and financial management
WASTE classifies this as Negative / Null Result Report · AI classification, approximate
The study found no significant effect — useful as a negative control or null benchmark for your own design.
Abstract
We use the GARCH-MIDAS model to extract the long- and short-term volatility components of cryptocurrencies. As potential drivers of Bitcoin volatility, we consider measures of volatility and risk in the US stock market as well as a measure of global economic activity. We find that S&P 500 realized volatility has a negative and highly significant effect on long-term Bitcoin volatility. The finding is atypical for volatility co-movements across financial markets. Moreover, we find that the S&P 500 volatility risk premium has a significantly positive effect on long-term Bitcoin volatility
Abstract by Christian Conrad; Anessa Custovic; Éric Ghysels, Journal of risk and financial management (2018) — licensed CC BY 4.0.
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Metadata source: OpenAlex · DOI 10.3390/jrfm11020023