Stochastic properties and pricing of bitcoin using a GJR-GARCH model with conditional skewness and kurtosis components
Journal
Review of Quantitative Finance and Accounting
Date Issued
August 1, 2022
DOI
10.1007/s11156-022-01055-x
Abstract
Using a flexible statistical framework that accounts for time-varying skewness and leptokurtosis, we examine the stochastic behavior of Bitcoin in comparison to five major currencies. The empirical findings reveal that the distribution of all series is leptokurtic. Once the effect of skewness-kurtosis is considered, the true price of risk is obtained, with implications on policymakers’ and investors’ strategies.