Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling

@article{Cerqueti2020SkewedNG,
  title={Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling},
  author={Roy Cerqueti and Massimiliano Giacalone and Raffaele Mattera},
  journal={Inf. Sci.},
  year={2020},
  volume={527},
  pages={1-26}
}
Abstract Recently, cryptocurrencies have attracted a growing interest from investors, practitioners and researchers. Nevertheless, few studies have focused on the predictability of them. In this paper we propose a new and comprehensive study about cryptocurrency market, evaluating the forecasting performance for three of the most important cryptocurrencies (Bitcoin, Ethereum and Litecoin) in terms of market capitalization. At this aim, we consider non-Gaussian GARCH volatility models, which… Expand
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