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http://dspace.lib.uom.gr/handle/2159/30424| Author: | Τσιγαρίδας, Νικόλαος |
| Title: | A Garch for Monero |
| Date Issued: | 2023 |
| Department: | Πρόγραμμα Μεταπτυχιακών Σπουδών Εφαρμοσμένα Οικονομικά |
| Supervisor: | Παναγιωτίδης, Θεόδωρος |
| Abstract: | The purpose of this research was to find the best fit model between GARCH, GJR , TGARCH , EGARCH models for the log-closing prices Monero(XMR) from 09/11/2017 – 31/08/2023. We estimated all the models mention above, in the Normal, students t, GED, skewed t and skewed GED distributions and using the AIC information criterion we tried to select the best model. Then we repeated the same process after we split the sample into two sub-samples and the date of the split (12/03/2020) was provided by the Bai-Perron Structural Break test. |
| Keywords: | Crypocurrency Volatillity |
| Information: | Διπλωματική εργασία--Πανεπιστήμιο Μακεδονίας, Θεσσαλονίκη, 2023. |
| Rights: | Αναφορά Δημιουργού 4.0 Διεθνές |
| Appears in Collections: | ΠΜΣ Εφαρμοσμένα Οικονομικά (Μ) |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| TsigaridasNikolaosMsc2023.pdf.pdf | 4.2 MB | Adobe PDF | View/Open | |
| TsigaridasNikolaosMsc2023extra1.zip.rar | 2.68 MB | RAR Compression Format | View/Open | |
| TsigaridasNikolaosMsc2023extra2.zip.rar | 62.86 MB | RAR Compression Format | View/Open |
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