True versus Spurious Long Memory in Cryptocurrencies

摘要

We test whether the selected cryptocurrencies exhibit long memory behavior in returns andvolatility. We use data on five most traded cryptocurrencies: Bitcoin, Litecoin, Ethereum, Bitcoin Cash,and XRP. Using recent tests of long memory developed against persistent and nonlinear alternatives,this paper finds that long memory is mostly rejected in returns. The tests fail to reject the nullhypothesis of long memory in most cases across different volatility proxies and cryptocurrencies.The estimated memory parameters show that volatility is persistent, and when volatility is measuredby log range, it is borderline nonstationary.