This research examines the correlations between the return volatility of cryptocurrencies, global stock market indices …, and the spillover effects of the COVID-19 pandemic. For this purpose, we employed a two-stage multivariate volatility … and respond well to previous shocks. As a result, financial assets have low unconditional volatility and the lowest risk …

With the exception of Bitcoin, there appears to be little or no literature on GARCH modelling of cryptocurrencies. This … paper provides the first GARCH modelling of the seven most popular cryptocurrencies. Twelve GARCH models are fitted to each …

This paper examines the volatility of cryptocurrencies, with particular attention to their potential long memory … properties. Using daily data for the three major cryptocurrencies, namely Ripple, Ethereum, and Bitcoin, we test for the long …) Model Method. Our findings show that squared returns of three cryptocurrencies have a significant long memory, supporting …

case, using a sample of seven cryptocurrencies and considered a period that encompassed the first real global shock in the …, the analyzed cryptocurrencies’ returns exhibited similar patterns of uncertainty and risk. Levels of uncertainty were …

cryptocurrencies show high volatility in their price movements, whereby Bitcoin acts as the most stable cryptocurrency. All return … other asset classes. This article aims to analyse the financial risk characteristics of individual cryptocurrencies and of a … broad cryptocurrency market portfolio. We construct a portfolio comprising the 20 largest cryptocurrencies, which cover 82 …

normality of the portfolio returns leads to the underestimation of portfolio risk. Cryptocurrencies are a decentralized digital … reveal a very high excess kurtosis and skewness for returns of cryptocurrencies. In order to incorporate larger skewness and … kurtosis of the cryptocurrencies, a data-driven portfolio risk measure is minimized to obtain the optimal portfolio weights. A …

-MGARCH model to examine the return and volatility spillovers across three distinct classes of cryptocurrencies: coins, tokens, and …-off of March 2020, and that both ARCH and GARCH effects play an important role in determining conditional volatility among … cryptocurrencies. We find a bi-directional relationship for returns and long-term (GARCH) spillovers between BTC and ETH, but only a …

We examine the presence of outliers and time-varying jumps in the returns of four major cryptocurrencies (Bitcoin … instability in some major cryptocurrencies and thereby the importance of accounting for large shocks and time-varying jumps in … modelling volatility in the debatable cryptocurrency markets. …

degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which … forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation … distribution of returns. Explicitly modeling this volatility risk is fundamental. We propose a dually asymmetric realized …