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Conrad, C., & Kleen, O. (2018). Two Are Better Than One: Volatility Forecasting Using Multiplicative Component GARCH Models. Journal of Risk and Financial Management, 23, 1-51.

has been cited by the following article:

• TITLE: Half-Life Volatility Measure of the Returns of Some Cryptocurrencies

  AUTHORS: Abonongo John, Anuwoje Ida Logubayom, Raymond Nero

  KEYWORDS: Half-Life, Cryptocurrencies, Volatility, Mean Reversion, GARCH

  JOURNAL NAME: Journal of Financial Risk Management, Vol.8 No.1, March 13, 2019

  ABSTRACT: This paper explores the half-life volatility measure of three cryptocurrencies (Bitcoin, Litecoin and Ripple). Two GARCH family models were used (PGARCH (1, 1) and GARCH (1, 1)) with the student-t distribution. It was realised that, the PGARCH (1, 1) was the most appropriate model. Therefore, it was used in determining the half-life of the three returns series. The results revealed that, the half-life was 3 days, 6 days and 4 days for Bitcoin, Litecoin and Ripple respectively. This shows that, the three coins have strong mean reversion and short half-life and that it takes the respective days for volatility in each of coin to return half way back without further volatility.