Modeling the volatility of cryptocurrencies: an empirical application of stochastic volatility models

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Modeling the volatility of cryptocurrencies: an empirical application of stochastic volatility models

This paper compares a number of stochastic volatility (SV) models for modeling and predicting the volatility of the four most capitalized cryptocurrencies (Bitcoin, Ethereum, Ripple, and Litecoin). The standard SV model, models with heavy-tails and moving average innovations, models with jumps, leve...

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Bibliographic Details
Main Authors:	Zahid, Mamoona, Iqbal, Farhat
Format:	Article
Language:	English
Published:	Penerbit Universiti Kebangsaan Malaysia 2020
Online Access:	http://journalarticle.ukm.my/15201/ http://journalarticle.ukm.my/15201/1/ARTIKEL%2025.pdf

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