GARCH-type models dominate as VaR estimators the overall objective of this paper is to perform comprehensive volatility and …Since Bitcoin introduction in 2008, the cryptocurrency market has grown into hundreds-of-billion-dollar market. The …. The methods we used are parametric (GARCH and EWMA model), non-parametric (historical VaR) and Monte Carlo simulation …

We examine the presence of outliers and time-varying jumps in the returns of four major cryptocurrencies (Bitcoin …, Ethereum, Ripple, Dogecoin, Litecoin), and a broad cryptocurrency index (CCI30). The results indicate that only Bitcoin returns … are contaminated with outliers. Time-varying jumps are present in Bitcoin, Litecoin, Ripple, and the cryptocurrency index …

volatility. A GARCH (1,1) model is used to analyze Bitcoin's volatility in respect to the macroeconomic variables of countries … European Union but not in Japan. There is also evidence that Bitcoin acts as a safe-haven asset in China. The volatility of …This study examines whether Bitcoin, a digital decentralized currency, can become a viable alternative to fiat …

market capitalization, the increasing volatility of the virtual currencies raise various concerns. One of the major concerns … cryptocurrencies returns. This can be attributed to the presence of asymmetric volatility clusters. This study has significant …

We provide a comparison of several GARCH and stochastic volatility models for forecasting the risk of cryptocurrencies …. It turns out that the widely used GARCH(1,1) does not provide accurate risk predictions. In contrast, adding t … stochastic volatility models perform in particular well. Finally, we consider a Bayesian decision-guided approach with discount …