Impacto do lançamento do GPT-4 na volatilidade condicional de uma cesta de criptoativos: uma análise utilizando modelos da família ARCH

Abstract

The objective of this study was to analyze the impact of the launch of OpenAI's GPT-4 on the conditional volatility of a basket of crypto assets. To this end, daily data from 2023 were used for the three representative cryptocurrencies Bitcoin, Ethereum, and Solana. The methodology applied consisted of estimating ARCH family models before and after the launch of the artificial intelligence tool. As a result of the model estimation, for most (two) of the cryptocurrencies analyzed, the presence of short-term shocks that dissipate in the medium and long term was identified, which denotes a feeling of euphoria in the technology sector with noticeable impacts on the cryptoassets market.