摘要：In this paper we study the daily volatility of four cryptocurrencies (BitCoin, Dash, LiteCoin, and Ripple) from June
2014 to November 2018. We first show that the cryptocurrency returns are strongly characterized by the presence of
jumps as well as structural breaks (except Dash). Then, we estimate four GARCH-type models that capture short
memory (GARCH), asymmetry (APARCH), strong persistence (IGARCH), and long memory (FIGARCH) from (i)
original returns, (ii) jump-filtered returns, and (iii) jump-filtered returns with structural breaks. Results indicate the
importance to take into account the jumps and structural breaks in modelling volatility of the cryptocurrencies. It
appears that the cryptocurrency returns are well modelled by infinite persistence (BitCoin, Dash, and LiteCoin) or long
memory (Ripple) with a Student-t distribution.
