Paper Contents
Abstract
This study uses the TGARCH and PGARCH models to investigate the asymmetric volatility-return relationship in the cryptocurrency market for the period from 18012018 to 26062025, focusing on Bitcoin and Ethereum. We find evidence of strong persistence in both returns and volatility dimensions of crypto market performance. For both Bitcoin and Ethereum, the coefficient on one-lagged period return is negative and highly significant, while the volatility persistence parameter is approximately 1. However, we find that volatility feedback or risk-premia effect is present for Ethereum, while it is not for Bitcoin. Further, we find that although the PGARCH model outperforms the TGARCH model, both crypto assets do not exhibit asymmetric volatility effect. Hence, we conclude that while crypto market is largely inefficient and can be predicted by past events, most of the time-varying volatility properties of crypto assets can be well captured by the standard GARCH model. However, a GARCH-in mean specification is more appropriate for Ethereum compared to Bitcoin.
Copyright
Copyright © 2025 Nwulu, Stephen Onyemere. This is an open access article distributed under the Creative Commons Attribution License.
