Cryptocurrencies can be considered an individual asset class due to their distinct risk/return characteristics and low correlation with other asset classes. Volatility is an important measure in financial markets, risk management, and making investment decisions. Different volatility models are beneficial tools to use for various volatility models. The purpose of this study is to compare the accuracy of various volatility models, including GARCH, EGARCH, and GJR-GARCH. This study applies these volatility models to the Bitcoin, Ethereum, and Litecoin return data in the period January 1st, 2020, to December 31st, 2024. The performance of these models is based on the smallest AIC value for each model. The results of the study indicate that the GARCH (1,1) is the most suitable model for Bitcoin, Litecoin, and Ethereum returns.
Pasaribu et al. (Mon,) studied this question.