Measuring the Return and Volatility of Cryptocurrencies: A Case Study of Thailand
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Abstract
Cryptocurrencies are financial assets. Address on the public transaction system that works without intermediaries Based on a Blockchain that connects computers through Peer-to-Peer network. Resulting in a highly secure system and editing data in the Blockchain is difficult. This research aims to estimate returns and volatility from investing in Bitcoin using The ARCH (1), GARCH (1,1), TGARCH (1,1), and EGARCH (1,1) models. Based on the Thai cryptocurrency market and describe which model that can estimate the most appropriate volatility. The study found that the return of bitcoins from the log return method average daily return was 0.03%, while the weekly mean yield was 0.43%, the monthly mean yield was 3.73% and the yearly average was 11.42%. This means that the holding time of the cryptocurrency has an effect on the return. And EGARCH (5,5) is the most suitable model to easure the volatility of Bitcoin in the Thai market from 2018 to 2020.
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