The launch of Bitcoin, the first cryptocurrency, in 2009, altered the traditional perspective that people held with regard to of financial transactions. Over the years, hundreds of cryptocurrencies have emerged and the realm of crypto (digital) assets extended its impact toglobal affairs whereas it affects domestic and international economics, politics, and the environment. Given the nature and potential of this technology, it has left a positive mark as wellas negative stains due to lack of regulation, falling prey to perversion and abuse with malicious intent to commit illicit activity. ...

Purpose: The purpose of this thesis is to investigate and assess the predictive ability of the GARCH (1,1), IGARCH (1,1), EGARCH (1,1), GJR-GARCH (1,1), APARCH (1,1), TGARCH (1,1) and CGARCH (1,1) models in forecasting the volatilities of six major cryptocurrencies: Bitcoin, Ripple, Litecoin, Monero, Dash, Dogecoin and six world currencies: Euro, British Pound, Canadian Dollar, Australian Dollar, Swiss Franc and the Japanese Yen. The optimal volatility model selected for each virtual and hard currency is then integrated into the Volatility Update Historical Simulation approach to evaluate the ...