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 …

financial econometrics literature have developed several models based on Extreme Value Theory (EVT) to carry out these tasks …

We propose a methodology to include night volatility estimates in the day volatility modeling problem with high … the natural relationship between the realized measure and the conditional variance. This improves volatility modeling by … leverage effect and maintains a mathematical structure that facilitates volatility estimation. A class of bivariate models that …