2024
DOI: 10.1109/ojcs.2024.3370603
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Evaluating Cryptocurrency Market Risk on the Blockchain: An Empirical Study Using the ARMA-GARCH-VaR Model

Yongrong Huang,
Huiqing Wang,
Zhide Chen
et al.

Abstract: Cryptocurrency, a novel digital asset within the blockchain technology ecosystem, has recently garnered significant attention in the investment world. Despite its growing popularity, the inherent volatility and instability of cryptocurrency investments necessitate a thorough risk evaluation. This study utilizes the Autoregressive Moving Average (ARMA) model combined with the Generalized Autoregressive Conditionally Heteroscedastic (GARCH) model to analyze the volatility of three major cryptocurrencies-Bitcoin … Show more

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