Symmetry or Asymmetry: A model comparison between different ARCH-class volatility models using Bitcoin returns
This thesis will in turn evaluate the forecast performance of different ARCH-type models' forecast ability using Bitcoin returns from 01-04-2015 to 01-04-2022. More specifically, it is of interest to see if a simple GARCH(1,1) model can outperform more sophisticated models that incorporate the asymmetry in volatility. Besides the GARCH(1,1) model, other models used in this thesis were the IGAR