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Cryptocurrencies are on the rise, with new financial assets, new frameworks need to be developed. This thesis sets out to the examine the GARCH(1,1), the bivariate-BEKK(1,1), and the Standard stochastic volatility model’s volatility forecasting performance on BTC/USD, where the bivariate model is estimated on both BTC/USD and ETH/USD closing price data. Furthermore, three loss functions are used t
