---
title: Bitcoin and Ethereum GARCH Volatility Forecasting
url: https://www.ml-quant.com/papers/ssrn/4921210/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4921210
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4921210
featured: 2024-08-15
citations: unknown
topic: Crypto & 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.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4921210
- Identifier: SSRN 4921210
- Released: 2024-08-09
- First featured: Quant Letter No. 61 (2024-08-15): https://www.ml-quant.com/issues/2024-08-15/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Crypto & DeFi

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