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The return volatility of crypto currencies during the COVID-19 pandemic: Assessing the news effect
Global Finance Journal ; : 100641, 2021.
Article in English | ScienceDirect | ID: covidwho-1188583
ABSTRACT
In this paper, we test the role of news in the predictability of return volatility of digital currency market during the COVID-19 pandemic. We use hourly data for crypto currencies and daily data for the news indicator, thus, the GARCH MIDAS framework which allows for mixed data frequencies is adopted. We validate the presupposition that fear-induced news triggered by the COVID-19 pandemic increases the return volatilities of the crypto currencies compared with the period before the pandemic. We also establish that the predictive model that incorporates the news effects forecasts the return volatility better than the benchmark model, historical average.

Full text: Available Collection: Databases of international organizations Database: ScienceDirect Type of study: Experimental Studies / Prognostic study Language: English Journal: Global Finance Journal Year: 2021 Document Type: Article

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Full text: Available Collection: Databases of international organizations Database: ScienceDirect Type of study: Experimental Studies / Prognostic study Language: English Journal: Global Finance Journal Year: 2021 Document Type: Article