List of Articles میانگین متحرک خودهمبسته با انب

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  1 - Long memory in four main cryptocurrencies
  gholamreza zomorodian Babak Mahboubi
  10.30495/jfksa.2022.20209
  In recent years a new type of tradable assets appeared, generically known as cryptocurrencies. Some of them are widespread and global. This paper examines the volatility of cryptocurrencies, with particular attention to their potential long memory properties. Three diff More

  In recent years a new type of tradable assets appeared, generically known as cryptocurrencies. Some of them are widespread and global. This paper examines the volatility of cryptocurrencies, with particular attention to their potential long memory properties. Three different long-memory methods (R/S analysis, fractional integration and fractional GARCH extensions) are used to analyze it in the case of the four main cryptocurrencies (BitCoin, Ethereum, LiteCoin and Ripple) over the sample period January 2013– November 2019. Our results are twofold. First, R/S method is prone to detect long memory whereas the findings of ARFIMA and GARCH type models indicate that in the case of two examined cryptocurrencies (BitCoin and Ethereum), long memory exist (there is a positive correlation between its past and future values). Such predictability represents evidence of market inefficiency in their markets: trend trading strategies can be used to generate abnormal profits in these markets. Although our findings show that returns of Litecoin and Ripple don’t have a significant long memory. Manuscript profile