- Article
A Wavelet-Decomposed WD-ARMA-GARCH-EVT Model Approach to Comparing the Riskiness of the BitCoin and South African Rand Exchange Rates
- Thabani Ndlovu and
- Delson Chikobvu
In this paper, a hybrid of a Wavelet Decomposition–Generalised Auto-Regressive Conditional Heteroscedasticity–Extreme Value Theory (WD-ARMA-GARCH-EVT) model is applied to estimate the Value at Risk (VaR) of BitCoin (BTC/USD) and the South...

