Open access
Oct 2026
An Empirical Comparison of GARCH-Type Models for Cryptocurrency Volatility Forecasting
This study investigates the volatility dynamics of Bitcoin (BTC), Ethereum (ETH), and Binance Coin (BNB) from 1 January 2021 to 31 December 2025. Using daily return data, the study applies Generalized Autoregressive Conditional Heteroskedasticity (GARCH)(1,2), Exponential GARCH (EGARCH)(1,2), and Power ARCH (PARCH)(1,2...
Thomas Sumarsan Goh, Erika Erika, Albert Albert et al.
· Journal of Risk and Financia... · 0 citations