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Forecasting bitcoin volatility using hybrid GARCH models with machine learning
Zahid, Mamoona; Iqbal, Farhat; Koutmos, Dimitrios - In: Risks : open access journal 10 (2022) 12, pp. 1-18
-stationary properties of Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models with the nonlinear modeling capabilities …
Persistent link: https://www.econbiz.de/10014230957
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Cryptocurrency trading and downside risk
Iqbal, Farhat; Zahid, Mamoona; Koutmos, Dimitrios - In: Risks : open access journal 11 (2023) 7, pp. 1-18
(CAViaR) and dynamic quantile range (DQR) models, as well as GARCH-type and generalized autoregressive score (GAS) models. We …
Persistent link: https://www.econbiz.de/10014335948