Ensemble Learning and an Adaptive Neuro-Fuzzy Inference System for Cryptocurrency Volatility Forecasting

Saralees Nadarajah, Jules Clement Mba, Patrick Rakotomarolahy, Henri T.J.E. Ratolojanahary

Research output: Contribution to journalArticlepeer-review

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 languageEnglish
Article number52
JournalJournal of Risk and Financial Management
Volume18
Issue number2
DOIs
Publication statusPublished - Feb 2025
Externally publishedYes

Keywords

  • ANFIS
  • cryptocurrency
  • GARCH
  • GBM
  • LightGBM
  • volatility
  • XGBM

ASJC Scopus subject areas

  • Accounting
  • Business, Management and Accounting (miscellaneous)
  • Finance
  • Economics and Econometrics

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