SSRNCrypto & DeFi
Bitcoin and Ethereum GARCH Volatility Forecasting
The study demonstrates that Bitcoin and Ethereum returns have similar statistical characteristics to other financial returns, with the two-component GJR model being the most accurate for predicting future volatility.
Featured in No. 61 on 15 Aug 2024 · 6 days after release
- Released
- 9 Aug 2024
- First featured
- No. 61 · 15 Aug 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 3
- Identifier
- SSRN 4921210
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