An Empirical Study on Yield Volatility of Cryptocurrencies

Abstract

With the rapid development of cryptocurrencies, the volatility characteristics of their yields have received more and more attention. At the same time, many empirical studies show that the GARCH family model is more effective in describing the volatility of financial time series. Firstly, this paper briefly introduces the research background of cryptocurrency and the research method using GARCH model. Next, the daily rate of return is calculated and descriptive statistical analysis is carried out on the collected closing price data of cryptocurrency, and on this basis, the GARCH model is constructed for empirical test to explore the volatility characteristics of its rate of return. Then the corresponding research conclusions and relevant policy recommendations are given.