Work

Cryptocurrency risk management using Lévy processes and time-varying volatility

Year: 2025

Type: article

Abstract: This paper applies the Lévy-GJR-GARCH model to explore the empirical dynamics of Bitcoin, Ethereum, and Ripple. It highlights volatility clustering, pronounced skewness, and high kurtosis in cryptocurrency markets. The study finds that models integrating innovation distributions more accurately capture and explain the volatility processes and tail risks in these assets. Advanced models, especially those accounting for extreme tail-end and asymmetric jump effects, are better suited for adapting to market changes and providing precise risk indicators, effectively identifying potential losses.

Source: Review of Quantitative Finance and Accounting

DOI: 10.1007/s11156-025-01393-6

Authors: Hai-Tang Wu, Meng-Lan Yueh

Institutions: Jinan University, National Chengchi University

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $3,190

Funder: National Chengchi University