El Chidiac, Johnny
(Notre Dame University-Louaize, 2019)
Purpose: The purpose of this thesis is to investigate the ability of EWMA, GARCH (1, 1), GARCH (p, q) and EGARCH (1, 1) to forecast volatilities of Bitcoin, Ripple, EURUSD, GBPUSD and CNYUSD. The optimal volatility model for each fiat and virtual currency is used to measure the accuracy of VaR by incorporating the volatility update into the Historical Simulation approach.
Design/Methodology/Approach: In-sample returns are calculated from daily closing prices and are used in estimating the parameters of the selected models. The calculated in-sample parameters are applied to estimate and forecast ...