Open Access Open Access  Restricted Access Subscription or Fee Access

Modelling Volatility of Bitcoin Prices: Classical or Fractional Integrated GARCH Variants?

T. Babatunde Oluwagbenga, O. Ojo Oluwadare, S. Yaya OlaOluwa


This paper tries to identify which class of GARCH variants best describe the volatility of bitcoin prices. The prices of bitcoin from August 7, 2015 to November 28, 2018 with 1210 daily observations were used. Five classical and four fractional integrated GARCH variants were estimated and based on the obtained AIC and SBIC, the four fractional integrated GARCH models fits better than the classical GARCH models. Results further showed that HYGARCH with Generalized error distribution (GED) tends to be the best fitted model for the bitcoin prices with better forecasting performance based on MAPFE and TI measures.


Bitcoin; Cryptocurrency; Conditional variance; Fractional integration; Generalized error distribution

Full Text:


Disclaimer/Regarding indexing issue:

We have provided the online access of all issues and papers to the indexing agencies (as given on journal web site). It’s depend on indexing agencies when, how and what manner they can index or not. Hence, we like to inform that on the basis of earlier indexing, we can’t predict the today or future indexing policy of third party (i.e. indexing agencies) as they have right to discontinue any journal at any time without prior information to the journal. So, please neither sends any question nor expects any answer from us on the behalf of third party i.e. indexing agencies.Hence, we will not issue any certificate or letter for indexing issue. Our role is just to provide the online access to them. So we do properly this and one can visit indexing agencies website to get the authentic information. Also: DOI is paid service which provided by a third party. We never mentioned that we go for this for our any journal. However, journal have no objection if author go directly for this paid DOI service.