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 …

-at-Risk (VaR) for a uniformly weighted portfolio of cryptocurrencies, employing the bivariate Normal Inverse Gaussian distribution … primary focus on Bitcoin and Ethereum, our research seeks to accentuate the resilience of VaR methodology as a paramount risk … assessment tool. The essence of our investigation lies in advancing the comprehension of VaR accuracy by quantitatively comparing …