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Risk measurement model on top 10 cryptocurrency market capitalization

Author

Listed:
  • Umar Al Faruq
  • Dwi Fitrizal Salim
  • Farida Titik Kristanti

Abstract

This study conducted a large-scale analysis to evaluate the performance of traditional and Markov-Switching GARCH (MS-GARCH) models to estimate the volatility of the top 10 cryptocurrencies by market capitalization. The study compared the performance of the models using goodness-of-fit measures, specifically the Deviance Information Criterion (DIC) and the Bayesian Predictive Information Criterion (BPC). Secondly, we assess the forecasting accuracy for one-day-ahead conditional volatility and Value-at-Risk (VaR). The results obtained show that, in a manner consistent with the findings for the broader cryptocurrency market, the time-varying regime-switching model exhibits superior performance in capturing the complex volatility patterns observed in cryptocurrencies when compared to the traditional GARCH model.

Suggested Citation

  • Umar Al Faruq & Dwi Fitrizal Salim & Farida Titik Kristanti, 2025. "Risk measurement model on top 10 cryptocurrency market capitalization," Edelweiss Applied Science and Technology, Learning Gate, vol. 9(4), pages 2395-2404.
    • Handle: RePEc:ajp:edwast:v:9:y:2025:i:4:p:2395-2404:id:6554
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