The Volatility Patterns and Correlation of Cryptocurrencies: Overcoming the Bitcoin’s primacy
|Author:||Mgr. Tomáš Šembera|
|Year:||2017 - summer|
|Leaders:|| PhDr. František Čech Ph.D.
|Work type:|| Finance, Financial Markets and Banking
|Awards and prizes:|
|Abstract:||The thesis focuses at the evolution of cryptocurrencies or more precisely at the competition
process between them in expanding to broader usage. The first main goal of the work is to find
out, whether Bitcoin, as the first and still most capitalized cryptocurrency, has an advantage of
higher maturity than alternative cryptocurrencies. The second goal is to analyze whether the
individual cryptocurrencies are perceived individually by market participants, which could grant
the alternative cryptocurrencies an option to compete with Bitcoin by offering better features as
safer technology or faster transaction. The analysis of volatility patterns in their exchange rates
via various GARCH models suggests that Bitcoin still has advantage in higher maturity. The
analysis of the correlation between various alternative cryptocurrencies and Bitcoin finds positive
correlation and thus suggests that the cryptocurrencies are rather perceived together.