Abstract:

In this study, the six major crypto currencies of the crypto market (Bitcoin, Stellar, Litecoin, Ethereum, Tether and Ripple) aims to test whether volatile structure, the asymmetric relationship and/or leverage effect exists. Our study covers the period of 09/11/2017-31/07/2022 and with WinBUGS application, the return series is calculated primarily by taking the logarithmic difference. In this context, samples were tested with 100,000 iterations and analysis was performed with the remaining 90,000 samples, excluding the first 10,000 samples of the estimates, in order for the coefficients to come out of the initial trend. According to the asymmetric effect model estimation results, the volatility persistence of cryptocurrencies, volatility predictability, and the correlation between the shock of the currencies' own returns and the effect and the shock effects of their volatility were evaluated. When we consider cryptocurrencies as a whole throughout the study, there is an intense volatility clustering for all cryptocurrencies used in our study, this volatility is continuous and the presence of low predictability is among the findings with the empirically asymmetric stochastic volatility model. In addition, according to the results of the study, neither leverage effect nor asymmetric effect relationship was observed in any of the other five currencies except Ethereum cryptocurrency.

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