GARCH-type models dominate as VaR estimators the overall objective of this paper is to perform comprehensive volatility and …Since Bitcoin introduction in 2008, the cryptocurrency market has grown into hundreds-of-billion-dollar market. The …. The methods we used are parametric (GARCH and EWMA model), non-parametric (historical VaR) and Monte Carlo simulation …

We apply the GARCH-MIDAS framework to forecast the daily, weekly, and monthly volatility of five highly capitalized … Cryptocurrencies (Bitcoin, Etherium, Litecoin, Ripple, and Stellar) as well as the Cryptocurrency index CRIX. Based on the prediction … quality, we determine the most important exogenous drivers of volatility in Cryptocurrency markets. We find that the Global …