True versus Spurious Long Memory in Cryptocurrencies

Dooruj Rambaccussing (Lead / Corresponding author), Murat Mazibas

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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.
Original languageEnglish
Article number186
Pages (from-to)1-11
Number of pages11
JournalJournal of Risk and Financial Management
Volume13
Issue number9
Early online date19 Aug 2020
DOIs
Publication statusPublished - Sep 2020

Keywords

  • Crypto currency
  • Bitcoin
  • Long memory
  • Fractional integration

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