Ampountolas, Apostolos - In: International Journal of Financial Studies : open … 10 (2022) 3, pp. 1-22
demonstrate that the univariate GJR-GARCH model (1,1) shows a superior predictive accuracy at all horizons, followed closely by … bidirectional shock transmission effects between the cryptocurrency pairs. Hence, the multivariate DCC-GARCH model can identify the …