Abstract
The purpose of this study is to conduct an empirical comparative study of volatility models for three of the most popular cryptocurrencies. We study the volatility of the following cryptocurrencies: Bitcoin, Ethereum, and Litecoin. We consider the GARCH-type, boosting-family-tree-based ensemble learning, and ANFIS volatility models for these financial crypto-assets, which some have claimed capture stylized facts about cryptocurrency volatility well. We conduct comparative studies on in-sample and out-of-sample empirical analyses. The results show that tree-based ensemble learning delivers better forecast accuracy. Nevertheless, the performance of some GARCH-type volatility models is relatively close to that of the best model on both training and evaluation samples.
Original language | English |
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Article number | 52 |
Journal | Journal of Risk and Financial Management |
Volume | 18 |
Issue number | 2 |
DOIs | |
Publication status | Published - Feb 2025 |
Externally published | Yes |
Keywords
- ANFIS
- cryptocurrency
- GARCH
- GBM
- LightGBM
- volatility
- XGBM
ASJC Scopus subject areas
- Accounting
- Business, Management and Accounting (miscellaneous)
- Finance
- Economics and Econometrics