Modelling and predicting the Bitcoin volatility using GARCH models

DOI10.1504/ijmmno.2018.088994zbMath1514.91112OpenAlexW4238283666WikidataQ111690261 ScholiaQ111690261MaRDI QIDQ6108501

Viviane Y. Naimy, Marianne R. Hayek

Publication date: 29 June 2023

Published in: International Journal of Mathematical Modelling and Numerical Optimisation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1504/ijmmno.2018.088994

zbMATH Keywords

optimisationout of sampleEGARCHpredictive abilityexponentially weighted moving averageEWMABitcoinGARCH(1,1)modelling volatilityerrors test statisticsexponential generalised autoregressive conditional heteroscedasticityin sample

Mathematics Subject Classification ID

Economic time series analysis (91B84) Actuarial science and mathematical finance (91G99)

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