Cryptocurrencies portfolio
This project is about conditional variance function and Value at Risk estimation for cryptocurrencies portfolio, you can expect:
- cryptocurrencies portfolio building with market capitalization weighting principle
- data scrapping from coinmarketcap.com
- time series EDA (realizations plot, returns plot, ACFs, PACFs, returns distribution, descriptive statistics)
- hypotheses testing (Durbin-Watson, ARCH LM, Jarque-Bera, Ljung-Box tests)
- time series modelling (ARMA-GARCH family models, residuals analysis, model selection, rolling window estimation)
- Value at Risk estimation, sensitivity analysis
- forecasting
- R markdown report in Polish
