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Proceedings of the 1st UMGESHIC International Seminar on Health, Social Science and Humanities (UMGESHIC-ISHSSH 2020)
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 baseddoi:10.2991/assehr.k.211020.063 fatcat:7szdllzvvjg6jakglgfeckxv7y