SFB649DP2016 031
A first econometric analysis of the CRIX family
Shi Chen
Cathy Yi-Hsuan Chen
Wolfgang Karl Härdle
TM Lee
Bobby Ong
Abstract:
The CRIX (CRyptocurrency IndeX) has been constructed based on approximately
30 cryptos and captures high coverage of available market capitalisation.
The CRIX index family covers a range of cryptos based on different liquidity
rules and various model selection criteria. Details of ECRIX (Exact CRIX),
EFCRIX (Exact Full CRIX) and also intraday CRIX movements may be found
on the webpage of hu.berlin/crix.
In order to price contingent claims one needs to first understand the dynamics
of these indices. Here we provide a first econometric analysis of the CRIX
family within a time-series framework. The key steps of our analysis include
model selection, estimation and testing. Linear dependence is removed by an
ARIMA model, the diagnostic checking resulted in an ARIMA(2,0,2) model for
the available sample period from Aug 1st, 2014 to April 6th, 2016. The model
residuals showed the well known phenomenon of volatility clustering. Therefore
a further refinement lead us to an ARIMA(2,0,2)-t-GARCH(1,1) process.
This specification conveniently takes care of fat-tail properties that are typical
for financial markets. The multivariate GARCH models are implemented on
the CRIX index family to explore the interaction.
Keywords:
JEL Classification:
C51, C52, G10