Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/156795
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dc.contributor.authorZhao, Zhunen_US
dc.date.accessioned2022-04-24T12:20:44Z-
dc.date.available2022-04-24T12:20:44Z-
dc.date.issued2022-
dc.identifier.citationZhao, Z. (2022). Modelling the price dynamics of cryptocurrencies with GARCH and SVCJ models. Final Year Project (FYP), Nanyang Technological University, Singapore. https://hdl.handle.net/10356/156795en_US
dc.identifier.urihttps://hdl.handle.net/10356/156795-
dc.description.abstractCryptocurrencies (CCs) have gained more and more attention in recent years as a new asset class. Its decentralised feature brings enormous profits to buyers with a great amount of risk. As the CC market develops and takes in more and more institutional investors, it is essential to understand the price dynamics of cryptocurrencies for managing risks as well as pricing derivatives. In this paper, I examine the key characteristics of cryptocurrencies in their return and volatility process, especially time-varying volatility, leverage effect and jump discontinuities. Generalised Autoregressive Conditional Heteroskedasticity (GARCH)-type models and Stochastic Volatility with Correlated Jumps (SVCJ) model are used to capture the price dynamics of three popular CCs. The in-sample estimation shows SVCJ is superior in fitting the price dynamics and the out-of-sample backtesting results show that both models can produce accurate Value-at-Risk forecasts. The results imply that SVCJ is a better model in capturing the CC price dynamics especially when the tail risks need to be taken care of.en_US
dc.language.isoenen_US
dc.publisherNanyang Technological Universityen_US
dc.relationHE1AY2122_21en_US
dc.subjectBusiness::Finance::Mathematical financeen_US
dc.subjectBusiness::Finance::Assetsen_US
dc.titleModelling the price dynamics of cryptocurrencies with GARCH and SVCJ modelsen_US
dc.typeFinal Year Project (FYP)en_US
dc.contributor.supervisorTang Yangen_US
dc.contributor.schoolSchool of Social Sciencesen_US
dc.description.degreeBachelor of Social Sciences in Economicsen_US
dc.contributor.supervisoremailTangYang@ntu.edu.sgen_US
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Appears in Collections:SSS Student Reports (FYP/IA/PA/PI)
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