A Methodological Point Of View In A Systematic Review Of The Documentation Of The Effect Of Volatility On Cryptocurrency Investment

Abstract

In this study, we examine the literature that has been published between the years of 2009 and 2022, and we synthesize its contributions to the analysis of volatility during the past ten years, particularly with regard to investments in cryptocurrencies. Papers from journals with a Scopus index are included in our selections. We undertake a literature review and a bibliometric analysis using the VOS-viewer program. Our results are presented in terms of the approaches employed to simulate cryptocurrency volatility as well as in accordance with their key conclusions on the aforementioned assets' volatility and their use in managing portfolios. Our analysis indicates that the Markowitz models appear to be more popular among authors and that continue to be dominated by the GARCH expansion method and hybrid models are thought to be the best machine learning techniques. We also discover that investors can take into account cryptocurrencies because of their capacity to enhance the performance of diversified portfolios.