True versus Spurious Long Memory in Cryptocurrencies

Dooruj Rambaccussing; Murat Mazibas

doi:10.3390/jrfm13090186

True versus Spurious Long Memory in Cryptocurrencies

Dooruj Rambaccussing (Lead / Corresponding author), Murat Mazibas

Research output: Contribution to journal › Article › peer-review

9 Citations (Scopus)

72 Downloads (Pure)

Abstract

We test whether the selected cryptocurrencies exhibit long memory behavior in returns and volatility. We use data on five most traded cryptocurrencies: Bitcoin, Litecoin, Ethereum, Bitcoin cash, and XRP. Using recent tests of long memory developed against persistent and nonlinear alternatives, this paper finds that long memory is mostly rejected in returns. The tests fail to reject the null hypothesis of long memory in most cases across different volatility proxies and cryptocurrencies. The estimated memory parameters show that volatility is persistent and when volatility is measured by log range it is borderline nonstationary.

Original language	English
Article number	186
Pages (from-to)	1-11
Number of pages	11
Journal	Journal of Risk and Financial Management
Volume	13
Issue number	9
Early online date	19 Aug 2020
DOIs	https://doi.org/10.3390/jrfm13090186
Publication status	Published - Sept 2020

Keywords

Crypto currency
Bitcoin
Long memory
Fractional integration

ASJC Scopus subject areas

Economics, Econometrics and Finance(all)
Economics and Econometrics
Economics, Econometrics and Finance (miscellaneous)
Finance

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10.3390/jrfm13090186Licence: CC BY

Final published version
© 2020 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (http://creativecommons.org/licenses/by/4.0/).
Final published version, 860 KBLicence: CC BY

Mazibas, Murat
- Accounting and Finance - Senior Lecturer (Teaching and Research)
Person: Academic
Rambaccussing, Dooruj
- Economics - Senior Lecturer (Teaching and Research)
Person: Academic

Cite this

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abstract = "We test whether the selected cryptocurrencies exhibit long memory behavior in returns and volatility. We use data on five most traded cryptocurrencies: Bitcoin, Litecoin, Ethereum, Bitcoin cash, and XRP. Using recent tests of long memory developed against persistent and nonlinear alternatives, this paper finds that long memory is mostly rejected in returns. The tests fail to reject the null hypothesis of long memory in most cases across different volatility proxies and cryptocurrencies. The estimated memory parameters show that volatility is persistent and when volatility is measured by log range it is borderline nonstationary.",

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True versus Spurious Long Memory in Cryptocurrencies

Abstract

Keywords

ASJC Scopus subject areas

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Mazibas, Murat

Rambaccussing, Dooruj

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