This study explores the volatility spillover effects between clean and dirty cryptocurrencies and key financial indices … results reveal significant volatility spillovers from both clean and dirty cryptocurrencies, with clean cryptocurrencies such … volatility impacts on green finance indices. Furthermore, the persistent correlations identified through the DCC GARCH model …

market uncertainty and volatility of the investment instruments. Thus, the prediction of the uncertainty and volatilities of … to identify the best fit model that can predict the volatility of return of Bitcoin, which is in high demand as an … the residuals of the average equation model selected have ARCH effect. Volatility of Bitcoin return series after detection …

In this paper, we study forecasting problems of Bitcoin-realized volatility computed on data from the largest crypto … model and forecast Bitcoin volatility. The empirical results demonstrate that least squares model-averaging methods in …

-GARCH(1,1), CAViaR and historical simulation models in periods with contrasting volatility trends (increasing, constantly high … volatility trend. However, GARCH-st (1,1) and QML-GARCH(1,1) were found to be the most robust models in the different volatility … periods. The results show as well that the CAViaR model forecasts were less appropriate in the increasing volatility period …

Nowadays, modeling and forecasting the volatility of stock markets have become central to the practice of risk … to forecast the volatility of the Moroccan stock-market index MADEX. We use daily returns covering the period between 01 …, as well as leading to a better understanding of the Moroccan stock-exchange volatility dynamics, especially with the lack …

bulk distribution components. This implies that the combination of a stochastic econometric model with extreme value theory …