The Volatility Patterns and Correlation of Cryptocurrencies: Overcoming the Bitcoin's primacy

Šembera, Tomáš

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. JEL Classification G17, G19, E40, E41 Keywords cryptocurrencies, volatility, GARCH, money, correlation Author's e-mail 79828843@fsv.cuni.cz Supervisor's e-mail frantisek.cech@fsv.cuni.cz

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