Özet:

As a result of the variable variance problem (ARCH effect) seen in financial time series, variable models have been found at the same time. In our study, the market value of the high three crypto currencies [Bitcoin (BTC), Ethereum (ETH) and Ripple (XRP)] were studied and the ARCH effect was found in those returns similarly to the financial time series. The volatility of these three cryptocurrencies has been compared to six GARCH models in the calculation of the model. These models consist of GARCH (1,1), EGARCH (1,1), TGARCH (1,1), APARCH (1,1), CGARCH (1,1) and ACGARCH (1,1). In the framework of the work 01.10.2015 - 01.10. Between 2018 the returns from the daily closing data of Bitcoin (BTC), Ethereum (ETH) and Ripple (XRP) cryptocurrencies were used. In the volatility forecast, Bitcoin (BTC) and Ethereum (ETH) were found in the EGARCH (1,1), and Ripple (XRP) in the APARCH (1,1). In the framework of the study, the lifting effect of using these models has been studied to show that negative shocks have more impact on volatilities than positive shocks. Bitcoin (BTC) and Ethereum (ETH) models have not had a lifting effect, but positive shocks have caused more volatility than negative shocks. However, the lifting effect in the Ripple (XRP) volatility model has been determined.

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