Systematic Literature Review on Bitcoin's Conditional Volatility Modelling Using GARCH Models

Abstract: Both volatility modelling and Bitcoin have recently received significant attention. This literature review aims to identify which GARCH models and distributions have been used by the previous literature in modelling crypto volatility. Conditional volatility modelling of crypto is complex because of its highly volatile nature, and they are traded without any breaks. Based on the previous literature, we try to identify the model and distribution that best model bitcoin volatility. This study helps bridge the existing gap by identifying the most suitable GARCH model for Bitcoin. The most recent finding suggests that asymmetric GARCH models are better predictors of bitcoin volatility. Keywords: GARCH Models, Conditional Volatility, Crypto-currency JEL Classification Number: C22, C58, G12, E44