B1055
Title: Space-time effects in cryptocurrencies: The spatiotemporal ARCH model
Authors: Codruta Mare - Babes-Bolyai University (Romania) [presenting]
Philipp Otto - University of Glasgow (United Kingdom)
Abstract: Spatiotemporal effects are, usually, assessed for geographical data, for which spatial interactions are clear. However spatial effects are also present in other fields like stock markets, as there are interdependencies related to neighbourhood effects. Considering this and the fast growth of cryptocurrency usage, the dynamic spatiotemporal autoregressive conditional heteroscedasticity methodology (spatial ARCH) is applied to a sample of the most famous cryptocurrencies. The goal is to model the changing and very heterogeneous volatility of the cryptocurrency market and assess if spatial effects manifest along with temporal ones. The sample is made up of the top 10 cryptocurrencies in terms of market capitalization.
