Volatility Analysis of Cryptocurrency Markets: A Comparative Study of EGARCH, LSTM and Hybrid Forecasting Models for Bitcoin and Ethereum
This paper compares econometric and deep learning approaches to one-day-ahead volatility forecasting for Bitcoin (BTC/USD) and Ethereum (ETH/USD) over the period from January 2016 to December 2025. Seven models are evaluated: a symmetric GARCH(1,1) with Student-t innovations, an asymmetric EGARCH(1,1) with Student-t in...