Cryptocurrency price returns volatility modeling and forecasting with GARCH models
PurposeThe paper aims to identify suitable conditional variance models for the estimation and forecasting of cryptocurrency returns volatility.Design/methodology/approachThe methodology comprises the use of GARCH-family models estimated by maximum likelihood considering different scedastic functions...
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| Hlavní autoři: | , |
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| Médium: | Artigo |
| Jazyk: | Inglês |
| Vydáno: |
Emerald Publishing
2025-09-01
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| Edice: | RAUSP Management Journal |
| Témata: | |
| On-line přístup: | https://www.emerald.com/rausp/article-pdf/60/1/220/10141913/rausp-04-2023-0056en.pdf |
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