مجلة اقتصاد المال و الأعمال
Volume 8, Numéro 4, Pages 4-16
2024-12-31

Volatility Patterns And Reaction To News Shocks A Garch Based Analysis Of Cryptocurrencies And A Stock Market Index



Authors : Ouis Latifa . Ouis Nadjet .

Abstract

This study employs various GARCH-family (Generalized Autoregressive Conditional Heteroskedasticity) models to examine the volatility patterns of four cryptocurrencies (Bitcoin, Ethereum, Binance Coin, and Sia Coin) together with a stock market index. The analysis aims to ascertain the differential effects of positive and negative shocks on the volatility levels of these assets. Based on the results, positive news regarding Sia Coin returns typically results in a state of tranquility and less volatility. Conversely, bad news (negative shocks) lead to increased instability in the returns of Bitcoin, Ethereum, Binance Coin, and the Stock Market Index, leading to a state of turmoil in the market.

Keywords

Cryptocurrencies ; Stock Market Index ; News ; Volatility

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