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VALUING RISK OF CRYPTOCURRENCY: STUDY ON BITCOIN USING GARCH AND GAS METHOD
We use the GARCH-MIDAS model to extract the long- and short-term volatility components of cryptocurrencies. As potential drivers of Bitcoin volatility. Given the high volatility dynamics present in all the cryptocurrencies, investors need to be cautious about their investments decisions in any cryptocurrency. ARIMA-GARCH Model, Cryptocurrency, Value at Risk, Volatility, ARIMA-GARCH Model, Cryptocurrency, Value at Risk, Volatilitas. Subjects: Q.

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