growth and dynamic nature require robust methods for modeling their volatility. The Generalized Auto Regressive Conditional … Heteroskedasticity (GARCH) model is a well-known mathematical tool for predicting volatility. Nonetheless, the Realized-GARCH model has … been particularly under-explored in the literature involving cryptocurrency volatility. This study emphasizes an …

basis in the simulation results a simple framework is proposed and illustrated …

In this paper we introduce a new way to estimate the spot volatility of high frequency foreign exchange data using the … Hilbert-Huang Transform. We also propose and test a consistent spot volatility estimate in the presence of microstructure … trading market in which competing volatility forecasts buy and sell straddle options to one another using real high frequency …