Price Volatility in Cryptocurrencies

Abstract

Cryptocurrency is a digital currency which works as a medium of exchange through a computer network. This study aims at modelling the volatility of selected cryptocurrencies by adopting different models of the GARCH family and providing empirical evidence on the fit of conditional volatility. The research is based upon daily U.S. dollar price indexes of Bitcoin (BTC/USD). The data were collected for a time period from October 2021 to April 2022. The every-day price data was further drilled down to arrive at OHLC (open-high-low-close) price for every quarter of the day. The dataset for the analyses were compiled from the website https://cryptowat.ch/ which is an open source and offers free downloadable dataset using Power BI. The first part of the article will focus on the introduction of topic matter concerned. The second part covers around a few literature reviews in the light of volatility in cryptos. The third part will focus on the methodology adopted followed by the results and discussion in the fourth part. Finally, the fifth and last part will provide concluding remarks.