Volatility estimation for Bitcoin: a comparison of GARCH models
From MaRDI portal
Recommendations
- Modelling and predicting the Bitcoin volatility using GARCH models
- Volatility forecasting accuracy for Bitcoin
- Assessing the accuracy of exponentially weighted moving average models for Value-at-Risk and Expected Shortfall of crypto portfolios
- Forecasting volatility in bitcoin market
- Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling
Cited in
(44)- Does market attention affect bitcoin returns and volatility?
- Market efficiency, liquidity, and multifractality of Bitcoin: a dynamic study
- Modelling and predicting the Bitcoin volatility using GARCH models
- Cryptocurrency volatility forecasting: what can we learn from the first wave of the COVID-19 outbreak?
- Modelling the bitcoin prices and media attention to bitcoin via the jump-type processes
- Asymmetric volatility in cryptocurrencies
- Return and volatility spillovers among cryptocurrencies
- Assessing the accuracy of exponentially weighted moving average models for Value-at-Risk and Expected Shortfall of crypto portfolios
- Incorporating financial news for forecasting Bitcoin prices based on long short-term memory networks
- Price clustering in bitcoin
- Forecasting volatility in bitcoin market
- An application of extreme value theory to cryptocurrencies
- Long memory interdependency and inefficiency in bitcoin markets
- Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin
- Measuring cryptocurrency moment convergence using distance analysis
- Testing data cloning as the basis of an estimator for the stochastic volatility in mean model
- Predictability of cryptocurrency returns: evidence from robust tests
- Using proxies to improve forecast evaluation
- Retaliation in bitcoin networks
- Financial modelling, risk management of energy instruments and the role of cryptocurrencies
- Bitcoin's energy consumption: is it the Achilles heel to miner's revenue?
- Forecasting the risk of cryptocurrencies: comparison and combination of GARCH and stochastic volatility models
- Digital currencies: a multivariate GARCH approach
- Understand volatility of algorithmic stablecoin: modeling, verification and empirical analysis
- Volatility GARCH models with the ordered weighted average (OWA) operators
- Cryptocurrencies in institutional investors' portfolios: evidence from industry stop-loss rules
- Momentum trading in cryptocurrencies: short-term returns and diversification benefits
- Volatility forecasting accuracy for Bitcoin
- Can fiat currencies really hedge bitcoin? Evidence from dynamic short-term perspective
- Betting on bitcoin: a profitable trading between directional and shielding strategies
- Investigating the relationship between volatilities of cryptocurrencies and other financial assets
- Investigating the diversifying or hedging nexus of cannabis cryptocurrencies with major digital currencies
- Temporal mixture ensemble models for probabilistic forecasting of intraday cryptocurrency volume
- Measuring the impact of digital exchange cyberattacks on bitcoin returns
- Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling
- Bitcoin and Its Offspring: A Volatility Risk Approach
- Cryptocurrency forecasting with deep learning chaotic neural networks
- Bitcoin daily close price prediction using optimized grid search method
- Herding and feedback trading in cryptocurrency markets
- Volatility and return jumps in Bitcoin
- On fair designs of c<scp>ross‐chain</scp> exchange for cryptocurrencies via Monte Carlo simulation
- How is price explosivity triggered in the cryptocurrency markets?
- Impacts of Bitcoin on USA, Japan, China and Turkey stock market indexes: Causality analysis with value at risk method (VAR)
- The nexus between black and digital gold: evidence from US markets
This page was built for publication: Volatility estimation for Bitcoin: a comparison of GARCH models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1782336)