Forecasting volatility and value-at-risk for cryptocurrency using GARCH-type models : the role of the probability distribution
Year of publication: |
2024
|
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Authors: | Chen, Qihao ; Huang, Zhuo ; Liang, Fang |
Subject: | volatility | cryptocurrency | Probability distribution | Realized GARCH | value-at-risk | Volatilität | Volatility | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Virtuelle Währung | Virtual currency | Prognoseverfahren | Forecasting model | Wahrscheinlichkeitsrechnung | Probability theory | Theorie | Theory | Schätzung | Estimation |
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