Modelling Volatility of Cryptocurrencies Using Markov-Switching GARCH Models
Modelling Volatility of Cryptocurrencies Using Markov-Switching GARCH Models
G. Caporale,Timur Zekokh
2018 · DOI: 10.1016/J.RIBAF.2018.12.009
Research In International Business and Finance · 147 Citations
TLDR
This paper aims to select the best model or set of models for modelling volatility of the four most popular cryptocurrencies, i.e. Bitcoin, Ethereum, Ripple and Litecoin by backtesting VaR and ES as well as using a Model Confidence Set (MCS) procedure for their loss functions.