This repository contains an R script to analyze the conditional correlations between Monero and Bitcoin prices using the rmgarch package. The script models the volatility of Monero and Bitcoin using GARCH models with external regressors and then computes the Dynamic Conditional Correlation (DCC) between the two cryptocurrencies.
The script was built for an assignment on Monero. I wanted to run the DCC for Monero and Bitcoin and then for Monero and Ethereum. The problem was that Monero should have three dummies while Bitcoin and Ethereum only one. The program that was used for the assignment, Gretl, wouldn't allow such a thing. Thus, i built the script.
The dummy used for Bitcoin is the same dummy used for Ethereum. So, by just changing the variable we can do a DCC for Monero and Ethereum instead.
The dataset used in this project should contain the following columns:
Mon_P: Monero prices.Btc_P: Bitcoin prices.Eth_P: Ethereum prices.
The script requires the following R packages:
rmgarchggplot2