True versus Spurious Long Memory in Cryptocurrencies

Dooruj Rambaccussing, Murat Mazibas
2020 Journal of Risk and Financial Management  
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
more » ... mated memory parameters show that volatility is persistent, and when volatility is measured by log range, it is borderline nonstationary.
doi:10.3390/jrfm13090186 fatcat:7jh2ibrygbfypk55kdeln4l4bi