volatility of four widely traded cryptocurrencies, i.e., Bitcoin, Ethereum, Litecoin, and Ripple, by modeling volatility to … forecast the intraday price volatility. We evaluate the results under the MSE and MAE loss functions. Statistical analyses … the TGARCH(1,1), which are the best models for modeling the volatility process on out-of-sample data and have more …

GARCH Models have become a workhouse in volatility forecasting of financial and monetary market time series. In this … article, we assess the small sample properties in estimation and the performance in volatility forecasting of four competing … methods can be an asset in volatility forecasting, since model parameters are subject to structural change over time and the …

Extreme value theory for a class of EGARCH processes is developed. It is shown that the EGARCH process as well as the … results are then compared to related models, such as stochastic volatility models or Log-ACD models. -- EGARCH ; exponential … GARCH ; extreme value theory ; tail behavior ; Gumbel distribution ; conditional variance ; Gaussian tail ; stochastic …