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The forking effect. (arXiv:2307.11718v1 [cs.CR])
cs.CR updates on arXiv.org arxiv.org
This study introduces the concept of the forking effect in the cryptocurrency
market,specifically focusing on the impact of forking events on bitcoin, also
called parent coin.We use a modified exponential GARCH model to examine the
bitcoin's response inreturns and volatility. Our findings reveal that forking
events do not significantlyaffect the bitcoin's returns but have a strong
positive impact on its volatility, especially when considering market dynamics.
Our model accounts for key features likevolatility clustering and fat-tailed
distributions. Additionally, we observe …
bitcoin called concept cryptocurrency events findings impact market response study volatility