Caporale, Guglielmo Maria; Zekokh, Timur - 2018
cryptocurrencies, i.e. Bitcoin, Ethereum, Ripple and Litecoin. More than 1,000 GARCH models are fitted to the log returns of the … exchange rates of each of these cryptocurrencies to estimate a one-step ahead prediction of Value-at-Risk (VaR) and Expected … well as using a Model Confidence Set (MCS) procedure for their loss functions. The results imply that using standard GARCH …