normality of the portfolio returns leads to the underestimation of portfolio risk. Cryptocurrencies are a decentralized digital … reveal a very high excess kurtosis and skewness for returns of cryptocurrencies. In order to incorporate larger skewness and … kurtosis of the cryptocurrencies, a data-driven portfolio risk measure is minimized to obtain the optimal portfolio weights. A …

-MGARCH model to examine the return and volatility spillovers across three distinct classes of cryptocurrencies: coins, tokens, and …-off of March 2020, and that both ARCH and GARCH effects play an important role in determining conditional volatility among … cryptocurrencies. We find a bi-directional relationship for returns and long-term (GARCH) spillovers between BTC and ETH, but only a …

, 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 … amidst the Thai stock market's volatility during the COVID-19 pandemic. The dataset encompasses daily price fluctuations in …