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Robust estimation of the range-based GARCH model: Forecasting volatility, value at risk and expected shortfall of cryptocurrencies.

Version 2.0

Fiszeder, Piotr; Pietrzyk Radosław, 2024, "Robust estimation of the range-based GARCH model: Forecasting volatility, value at risk and expected shortfall of cryptocurrencies.", https://doi.org/10.18150/LH0KS7, RepOD, V2

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Description

The file contains data used and analysed in the paper:

Fiszeder P., Małecka M., Molnár P., Robust Estimation of the Range-Based GARCH Model: Forecasting Volatility, Value at Risk and Expected Shortfall of Cryptocurrencies, Economic Modelling, 141, 2024, 106887.

The file contains open, close, low, high prices and realized variance for cryptocurrencies: Bitcoin (BTC/USD), Ethereum Classic (ETC/USD), Ethereum (ETH/USD), and Litecoin (LTC/USD).

The data start from March 1, 2016, for BTC/USD; May 1, 2017, for ETC/USD; March 1, 2017, for ETH/USD; and April 1, 2017, for LTC/USD. All series end on December 31, 2021. One observation is added for the calculation of returns.

Subject
Social Sciences
Keyword

Cryptocurrency, Bitcoin, volatility

Related Publication

Fiszeder P., Małecka M., Molnár P., Robust Estimation of the Range-Based GARCH Model: Forecasting Volatility, Value at Risk and Expected Shortfall of Cryptocurrencies, Economic Modelling, 141, 2024, 106887 https://www.sciencedirect.com/science/article/pii/S026499932400244X :

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