In this paper, using estimating function approach, a new optimal volatility estimator is introduced and based on the recursive form of the estimator a data-driven generalized EWMA model for value at risk (VaR) forecast is proposed. An appropriate data-driven model for volatility is identified by the relationship between absolute deviation and standard deviation for symmetric distributions with finite variance. It is shown that the asymptotic variance of the proposed volatility estimator is smaller than that of conventional estimators and is more appropriate for financial data with larger kurtosis. For IBM, Microsoft, Apple stocks and SP 500 index the proposed method is used to identify the model, estimate the volatility, and obtain minimum mean square error(MMSE) forecasts of VaR.

This work addresses the intricate task of predicting the prices of diverse financial assets, including stocks, indices, and cryptocurrencies, each exhibiting distinct characteristics and behaviors under varied market conditions. To tackle the challenge effectively, novel encoder–decoder architectures, AE-LSTM and AE-GRU, integrating the encoder–decoder principle with LSTM and GRU, are designed. The experimentation involves multiple activation functions and hyperparameter tuning. With extensive experimentation and enhancements applied to AE-LSTM, the proposed AE-GRU architecture still demonstrates significant superiority in forecasting the annual prices of volatile financial assets from the multiple sectors mentioned above. Thus, the novel AE-GRU architecture emerges as a superior choice for price prediction across diverse sectors and fluctuating volatile market scenarios by extracting important non-linear features of financial data and retaining the long-term context from past observations.

During the COVID-19 pandemic, cryptocurrency prices showed abnormal volatility that attracted the participation of many investors. Studying the behaviour of volatility for the prices of cryptocurrency is an interesting problem to be investigated. This research implements the state space model framework for volatility incorporating the Kalman filter. This method directly forecasts the conditional volatility of five cryptocurrency prices (Bitcoin (BTC), Ethereum (ETH), Ripple (XRP), Litecoin (LTC) and Bitcoin Cash (BCH)) for 10,000 consecutive hours, i.e., approximately 417 days during the COVID-19 pandemic from 26 February 2020, 00:00 h until 18 April 2021, 00:00 h. The performance of this model is compared to the GARCH (1,1) model and the neural network autoregressive (NNAR) based on root mean square error (RMSE), mean absolute error (MAE) and the volatility plot. The autocorrelation function plot, histogram and the residuals plot are used to examine the model adequacy. Among the three models, the state space model gives the best fit. The state space model gives the narrowest confidence interval of volatility and value-at-risk forecasts among the three models.

This work addresses the intricate task of predicting the prices of diverse financial assets, including stocks, indices, and cryptocurrencies, each exhibiting distinct characteristics and behaviors under varied market conditions. To tackle the challenge effectively, a novel hybridized architecture, AE-GRU, integrating the encoder-decoder principle with GRU is designed. The experimentation involves multiple activation functions and hyperparameter tuning. With extensive experimentation and enhancements applied to AE-LSTM, the proposed AE-GRU architecture still demonstrates significant superiority in forecasting the annual prices of volatile financial assets from multiple sectors mentioned above. Thus, the novel AE-GRU architecture emerges as a superior choice for price prediction across diverse sectors and fluctuating market scenarios by extracting important non-linear features of financial data and retaining the long-term context from past observations.