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Modelling the Volatility of NFTs and Traditional Financial Assets Using MGARCH Family Models
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Modelling the Volatility of NFTs and Traditional Financial Assets Using MGARCH Family Models
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Journal Article
Modelling the Volatility of NFTs and Traditional Financial Assets Using MGARCH Family Models
2024
Overview
This paper examines the efficiency and asymmetric multiracial features of NFTs (Mana, Tezos), and traditional assets (EGX30, Oil index) using Asymmetric Multiracial Cross-Correlations Analysis covering the period from January 2020 to May 2021. Considering the full sample with a significant variation among asset classes. (Oil-Tezos) and (Mana-Tezos) is the most efficient.
Publisher
جامعة الزقازيق - كلية التجارة
Subject
