-GARCH models, by including past volatility, are particularly useful both in instability and calm periods. Moreover, the asymmetric …, using more efficient models to dynamically quantify volatility. The RiskMetrics approach was parallelly used as a way to … estimates of the EGARCH models had fewer violations of VaR, the estimates of the three models used for volatility were more …

of their dependent and volatile innovations. The volatility function of the ARMA innovations is shown to be the square of … the corresponding GARCH volatility function. The prediction of GARCH squares is facilitated by the ARMA structure and …

market uncertainty and volatility of the investment instruments. Thus, the prediction of the uncertainty and volatilities of … to identify the best fit model that can predict the volatility of return of Bitcoin, which is in high demand as an … the residuals of the average equation model selected have ARCH effect. Volatility of Bitcoin return series after detection …

overstating volatility persistence (𝛽). Our empirical application to Bitcoin and Ethereum enhances these insights: we find …Financial assets often exhibit explosive price surges followed by abrupt collapses, alongside persistent volatility … explains time-varying volatility. We propose two estimation approaches: (i) Whittle-based frequency-domain methods, which are …