GARCH-type models dominate as VaR estimators the overall objective of this paper is to perform comprehensive volatility and … VaR estimation for three major digital assets and conclude which method gives the best results in terms of risk management …. The methods we used are parametric (GARCH and EWMA model), non-parametric (historical VaR) and Monte Carlo simulation …

In this paper we extend the Bayesian Proxy VAR to incorporate time variation in the parameters. A Gibbs sampling …