Typical issues of multivariate GARCH models are dimensionality, which is time consuming, both in terms of computations and their programming, and the availability of very few distributional schemes, since linear correlations are a natural dependence measure, only if the joint distribution of the...

The objective of this paper is to investigate the volatility dynamics of the six major digital currencies, Bitcoin, Ethereum, Ripple, Litecoin, Dash, and NEM, using a variety of GARCH models and skewed distributions. Selecting the best GARCH model and distribution fitting better each digital...