Essays about: "Darko Blazevic"

Found 1 essay containing the words Darko Blazevic.

  1. 1. Volatility Evaluation Using Conditional Heteroscedasticity Models on Bitcoin, Ethereum and Ripple

    University essay from KTH/Matematisk statistik

    Author : Darko Blazevic; Fredrik Marcusson; [2019]
    Keywords : ;

    Abstract : This study examines and compares the volatility in sample fit and out of sample forecast of four different heteroscedasticity models, namely ARCH, GARCH, EGARCH and GJR-GARCH applied to Bitcoin, Ethereum and Ripple. The models are fitted over the period from 2016-01-01 to 2019-01-01 and then used to obtain one day rolling forecasts during the period from 2018-01-01 to 2019-01-01. READ MORE