RePEcCrypto & DeFi
Predicting Cryptocurrency Volatility
The SHARV-MGJR model, which includes volatility leverage effects and current return data, is suggested for better prediction of cryptocurrency market volatility, surpassing GARCH-type models in tests.
Featured in No. 66 on 18 Sep 2024 · on release day
- Released
- 18 Sep 2024
- First featured
- No. 66 · 18 Sep 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 22
- Identifier
- RePEc:eee:finlet:v:67:y:2024:i:pa:s1544612324007876
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