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Keith Reuben Muyungi

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Open access Sep 2026

Volatility Analysis of Cryptocurrency Markets: A Comparative Study of EGARCH, LSTM and Hybrid Forecasting Models for Bitcoin and Ethereum

The principal finding is that the relative ranking of cryptocurrency volatility forecasts is highly sensitive to the choice of loss function but stable across alternative volatility proxies, indicating that the apparent superiority of LSTM models in cryptocurrency volatility forecasting is partly an artefact of evaluat...

Keith Reuben Muyungi, Jun-Juan Hu · 0 citations

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