Rationally justifying Bitcoin's immense price fluctuations has remained a persistent challenge for both investors and researchers in this field. A primary reason is our potential weakness toward robustly quantifying unquantifiable risks or ambiguity in Bitcoin returns. This paper introduces a...

Accurate prediction of Bitcoin prices is a purported boon for risky investors, more so, if the forecasts are largely unconditional. This paper introduces a class of autoregressive fractionally integrated moving average model with asymmetric exponential generalized autoregressive score errors to...