The Day of the Week Effect in Return of the Five Cryptocurrencies Market
- DOI
- 10.2991/assehr.k.211020.063How to use a DOI?
- Keywords
- Week Effect, Cryptocurrencies Market
- Abstract
Cryptocurrency works on a system that admits people to make payments all over the world without the requirement for any intermediary. Most digital currencies experience frequent periods of intense volatility. This paper examines the day of the week effects in return and volatility on Bitcoin, Ethereum, Ripple, Litecoin, and Tether currencies. To estimate volatile variance, this research uses five ARCH family models: ARCH, GARCH, EGARCH, TARCH and PARCH Models. The best models are derived based on Akaike Info Criterion and Schwarz Criterion. The sample periods vary based on the date of the initial release of each currency up to 31 December 2019. Results indicate the Power ARCH (PARCH) is the best model for Bitcoin and Litecoin, Threshold ARCH (TARCH) model is the best for Ethereum, Ripple, and Litecoin, and the EGARCH model is for Tether. Each model shows a different day of the week effects on each currency.
- Copyright
- © 2021, the Authors. Published by Atlantis Press.
- Open Access
- This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).
Cite this article
TY - CONF AU - Triasesiarta Nur AU - Narendra Dewangkara PY - 2021 DA - 2021/10/21 TI - The Day of the Week Effect in Return of the Five Cryptocurrencies Market BT - Proceedings of the 1st UMGESHIC International Seminar on Health, Social Science and Humanities (UMGESHIC-ISHSSH 2020) PB - Atlantis Press SP - 447 EP - 455 SN - 2352-5398 UR - https://doi.org/10.2991/assehr.k.211020.063 DO - 10.2991/assehr.k.211020.063 ID - Nur2021 ER -