Vol. 20 Núm. 41 (2024)

Artículos

Analyzing Cryptocurrency Volatility: An EGARCH Model

Publicado 02-12-2024

  • Guillermo Arroyo Jiménez
    • ,
  • Julia Juárez Garcia

Guillermo Arroyo Jiménez
Universidad Nacional Autónoma de México image/svg+xml

Julia Juárez Garcia
Universidad Nacional Autónoma de México image/svg+xml

Resumen

The aim of this article is to examine the reasons why cryptocurrency volatility hinders its potential to replace fiat money as legal tender. We focus on Bitcoin and Ethereum for this analysis. By applying an augmented Dickey-Fuller stationarity test, we demonstrate that cryptocurrencies lack a long-term trend; instead, their movement is erratic and highly volatile. Furthermore, eGARCH models indicate that volatility tends to decrease and is expected to persist in this pattern. In summary, theoretical and empirical analysis suggests that, due to their nature based solely on supply and demand and their high volatility, cryptocurrencies are not suitable as primary investment instruments or stores of value.

 

Palabras clave

blockchain, volatility, Cryptocurrencies, EGARCH

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