Authors :
Dr Urvashi Varma
Volume/Issue :
Volume 8 - 2023, Issue 7 - July
Google Scholar :
https://bit.ly/3TmGbDi
Scribd :
https://tinyurl.com/5n8ktwvr
DOI :
https://doi.org/10.5281/zenodo.8186153
Abstract :
The present study conducts a time series
analysis of 15 crypto assets and mutual funds. The time
series data is put through stationarity tests and modelled
using ARIMA to forecast the projected return and is
observed that both asset classes show increased returns
over the study period. The volatility modelling is
conducted using GARCH and is observed that crypto
assets are more volatile than mutual funds over the study
period.
Keywords :
Crypto Assets, Mutual funds, GARCH, ARIMA
The present study conducts a time series
analysis of 15 crypto assets and mutual funds. The time
series data is put through stationarity tests and modelled
using ARIMA to forecast the projected return and is
observed that both asset classes show increased returns
over the study period. The volatility modelling is
conducted using GARCH and is observed that crypto
assets are more volatile than mutual funds over the study
period.
Keywords :
Crypto Assets, Mutual funds, GARCH, ARIMA
