ANALYSIS OF TRENDS AND VOLATILITY OF CRYPTOCURRENCIES IN THE GLOBAL MARKET

Abstract

The motivation of this study was to analyze trends, volatility and model identification for Bitcoin, Ethereum and Ripple cryptocurrencies in the global market. The study utilized weekly price and cryptocurrency trading datasets from https://coinmarketcap.com. The study period was from 1st February 2015 to 26th December 2021. Two models, Arima and Garch models have been used in the study to determine the trends and volatility in the global market, trends have shown that cryptocurrencies have continued to increase in the market creating a worrying trends of overrunning both the domestic and international currencies, cryptocurrencies have remained unregulated in domestic markets and even in global markets, this have made it difficult to establish the value of digital assets held by mostly the tech-savvy individuals amounting to billions that have affected the markets both locally and internationally. Model identification was also determined using akaike information criterion values, the models that reported the least akaike information criterion values were considered to be the best models. On volatility, the results revealed that cryptocurrencies prices varied with time positively, which means traders looking to capitalize on volatility for profits may use such indicators as a strength indexes, volumes and establish support and resistance levels. The results from this study are important for market stability, investment and risk management purposes