The Value-at-Risk (VaR) metric serves as a pivotal tool for quantifying market risk, offering an estimation of …, particularly during crises and heightened uncertainty phases. Phenomena like volatility clustering impinge on the accuracy of these … models. To mitigate such constraints, conditional volatility models are integrated to augment the robustness and adaptability …

This study explores the stylized facts, volatility clustering, other highly irregular behaviour, and risk measures of … analysed cryptocurrencies. This paper provides new insights about cryptocurrency behaviour and the main measures of risk and … detailed comparative analysis with tech-stocks. Comprehensive research on stylized facts confirmed high risk for both …