Cryptocurrency volatility forecasting using commonality in intraday volatility.

Emmanuel Djanga Mihai Cucuringu Chao Zhang

Published in: ICAIF (2023)

Keyphrases

exchange rate
garch model
stock price
financial time series
foreign exchange
stock index futures
stock market
turning points
long run
forecasting model
financial crisis
short term
financial markets
stock returns
financial data
information systems
prediction model
non stationary