Nekhili, Ramzi; Sultan, Jahangir - In: International Journal of Financial Studies 8 (2020) 2, pp. 1-18
This paper aims at identifying a validated risk model for the cryptocurrency market. We propose a stochastic volatility … Value-at-Risk (VaR) and Expected Shortfall (ES) in cryptocurrency market. Validation results based on backtesting show that … TGARCH (Threshold GARCH) volatility and RiskMetrics models. The results imply that for the cryptocurrency market, the best …