for exogenous shock to market data. After the data fitting and VaR estimation, we conclude that the range-based volatility … regime switching into volatility process can boost the efficiency for VaR estimation. We also present an empirical … with non-regime switching volatility model, our model outperforms other alternatives on the estimation of volatility …

potential investors to study the volatility dynamics of cryptocurrencies’ returns in the present scenario. The present treatise … is an attempt to study the volatility dynamics of most traded cryptocurrencies, viz., Bitcoin, Bitcoin Cash, EOS … family models (GARCH, EGARCH, TARCH and PARCH) were applied to study the volatility dynamics. The results confirm the …

This paper analyzes high-frequency estimates of good and bad realized volatility of Bitcoin. We show that volatility … asymmetry depends on the volatility regime and the forecast horizon. For one-day ahead forecasts, good volatility commands a … stronger impact on future volatility than bad volatility on average and in extreme volatility regimes but not across all …

We examine the high-frequency return and volatility of major cryptocurrencies and reveal that spillovers among them … exist. Our analysis shows that return and volatility clustering structures are distinct among different cryptocurrencies …, suggesting that return and volatility might have different spillover patterns. Further investigation via minimal spanning trees …