This paper examines the volatility of cryptocurrencies, with particular attention to their potential long memory … properties. Using daily data for the three major cryptocurrencies, namely Ripple, Ethereum, and Bitcoin, we test for the long …) Model Method. Our findings show that squared returns of three cryptocurrencies have a significant long memory, supporting …

In this paper we evaluate alternative volatility forecasting methods under Value at Risk (VaR) modelling. We calculate … models based on daily data and models for realized volatility based on intraday returns (HAR-RV, HAR-RV-J and ARFIMA). We … find that the VaR estimates obtained from the models for daily returns and realized volatility give comparable results …