{"id":"https://openalex.org/W4392207920","doi":"https://doi.org/10.1109/ojcs.2024.3370603","title":"Evaluating Cryptocurrency Market Risk on the Blockchain: An Empirical Study Using the ARMA-GARCH-VaR Model","display_name":"Evaluating Cryptocurrency Market Risk on the Blockchain: An Empirical Study Using the ARMA-GARCH-VaR Model","publication_year":2024,"publication_date":"2024-01-01","ids":{"openalex":"https://openalex.org/W4392207920","doi":"https://doi.org/10.1109/ojcs.2024.3370603"},"language":"en","primary_location":{"id":"doi:10.1109/ojcs.2024.3370603","is_oa":true,"landing_page_url":"https://doi.org/10.1109/ojcs.2024.3370603","pdf_url":"https://ieeexplore.ieee.org/ielx7/8782664/9024218/10449426.pdf","source":{"id":"https://openalex.org/S4210176459","display_name":"IEEE Open Journal of the Computer Society","issn_l":"2644-1268","issn":["2644-1268"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310319808","host_organization_name":"Institute of Electrical and Electronics Engineers","host_organization_lineage":["https://openalex.org/P4310319808"],"host_organization_lineage_names":["Institute of Electrical and Electronics Engineers"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"IEEE Open Journal of the Computer Society","raw_type":"journal-article"},"type":"article","indexed_in":["crossref","doaj"],"open_access":{"is_oa":true,"oa_status":"gold","oa_url":"https://ieeexplore.ieee.org/ielx7/8782664/9024218/10449426.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5026257415","display_name":"Yongrong Huang","orcid":null},"institutions":[{"id":"https://openalex.org/I111753288","display_name":"Fujian Normal University","ror":"https://ror.org/020azk594","country_code":"CN","type":"education","lineage":["https://openalex.org/I111753288"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Yongrong Huang","raw_affiliation_strings":["School of Computer and Cyberspace Security, Fujian Normal University, Fuzhou, China"],"affiliations":[{"raw_affiliation_string":"School of Computer and Cyberspace Security, Fujian Normal University, Fuzhou, China","institution_ids":["https://openalex.org/I111753288"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5101815038","display_name":"Huiqing Wang","orcid":"https://orcid.org/0009-0005-9094-7330"},"institutions":[{"id":"https://openalex.org/I111753288","display_name":"Fujian Normal University","ror":"https://ror.org/020azk594","country_code":"CN","type":"education","lineage":["https://openalex.org/I111753288"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Huiqing Wang","raw_affiliation_strings":["School of Computer and Cyberspace Security, Fujian Normal University, Fuzhou, China"],"affiliations":[{"raw_affiliation_string":"School of Computer and Cyberspace Security, Fujian Normal University, Fuzhou, China","institution_ids":["https://openalex.org/I111753288"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5030776651","display_name":"Zhide Chen","orcid":"https://orcid.org/0000-0002-6130-9066"},"institutions":[{"id":"https://openalex.org/I111753288","display_name":"Fujian Normal University","ror":"https://ror.org/020azk594","country_code":"CN","type":"education","lineage":["https://openalex.org/I111753288"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Zhide Chen","raw_affiliation_strings":["School of Computer and Cyberspace Security, Fujian Normal University, Fuzhou, China"],"affiliations":[{"raw_affiliation_string":"School of Computer and Cyberspace Security, Fujian Normal University, Fuzhou, China","institution_ids":["https://openalex.org/I111753288"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5114585331","display_name":"Chen Feng","orcid":"https://orcid.org/0009-0008-6024-0942"},"institutions":[{"id":"https://openalex.org/I4210120389","display_name":"Fujian Polytechnic of Information Technology","ror":"https://ror.org/02j5qn328","country_code":"CN","type":"education","lineage":["https://openalex.org/I4210120389"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Chen Feng","raw_affiliation_strings":["Department of Information Engineering, Fuzhou Polytechnic, Fuzhou, China"],"affiliations":[{"raw_affiliation_string":"Department of Information Engineering, Fuzhou Polytechnic, Fuzhou, China","institution_ids":["https://openalex.org/I4210120389"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5031035914","display_name":"Kexin Zhu","orcid":"https://orcid.org/0009-0006-2744-4711"},"institutions":[{"id":"https://openalex.org/I142974352","display_name":"National Sun Yat-sen University","ror":"https://ror.org/00mjawt10","country_code":"TW","type":"education","lineage":["https://openalex.org/I142974352"]}],"countries":["TW"],"is_corresponding":false,"raw_author_name":"Kexin Zhu","raw_affiliation_strings":["Department of Computer Science and Engineering, National Sun Yat-sen University, Kaohsiung, Taiwan"],"affiliations":[{"raw_affiliation_string":"Department of Computer Science and Engineering, National Sun Yat-sen University, Kaohsiung, Taiwan","institution_ids":["https://openalex.org/I142974352"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5101590509","display_name":"Xu Yang","orcid":"https://orcid.org/0000-0003-2735-2359"},"institutions":[{"id":"https://openalex.org/I354108","display_name":"Minjiang University","ror":"https://ror.org/00s7tkw17","country_code":"CN","type":"education","lineage":["https://openalex.org/I354108"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Xu Yang","raw_affiliation_strings":["College of Computer and Data Science, Minjiang University, Fuzhou, China"],"affiliations":[{"raw_affiliation_string":"College of Computer and Data Science, Minjiang University, Fuzhou, China","institution_ids":["https://openalex.org/I354108"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5064277907","display_name":"Wencheng Yang","orcid":"https://orcid.org/0000-0001-7800-2215"},"institutions":[{"id":"https://openalex.org/I185523456","display_name":"University of Southern Queensland","ror":"https://ror.org/04sjbnx57","country_code":"AU","type":"education","lineage":["https://openalex.org/I185523456"]}],"countries":["AU"],"is_corresponding":false,"raw_author_name":"Wencheng Yang","raw_affiliation_strings":["School of Mathematics, Physics and Computing, University of Southern Queensland, Toowoomba, QLD, Australia"],"affiliations":[{"raw_affiliation_string":"School of Mathematics, Physics and Computing, University of Southern Queensland, Toowoomba, QLD, Australia","institution_ids":["https://openalex.org/I185523456"]}]}],"institutions":[],"countries_distinct_count":3,"institutions_distinct_count":7,"corresponding_author_ids":["https://openalex.org/A5026257415"],"corresponding_institution_ids":["https://openalex.org/I111753288"],"apc_list":{"value":1750,"currency":"USD","value_usd":1750},"apc_paid":{"value":1750,"currency":"USD","value_usd":1750},"fwci":5.3441,"has_fulltext":true,"cited_by_count":7,"citation_normalized_percentile":{"value":0.95458232,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":98,"max":99},"biblio":{"volume":"5","issue":null,"first_page":"83","last_page":"94"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10270","display_name":"Blockchain Technology Applications and Security","score":0.9970999956130981,"subfield":{"id":"https://openalex.org/subfields/1710","display_name":"Information Systems"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},"topics":[{"id":"https://openalex.org/T10270","display_name":"Blockchain Technology Applications and Security","score":0.9970999956130981,"subfield":{"id":"https://openalex.org/subfields/1710","display_name":"Information Systems"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9779000282287598,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.954800009727478,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/cryptocurrency","display_name":"Cryptocurrency","score":0.8921859264373779},{"id":"https://openalex.org/keywords/blockchain","display_name":"Blockchain","score":0.7919825315475464},{"id":"https://openalex.org/keywords/autoregressive-conditional-heteroskedasticity","display_name":"Autoregressive conditional heteroskedasticity","score":0.740972101688385},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.6523376703262329},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.48610925674438477},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.3942745327949524},{"id":"https://openalex.org/keywords/actuarial-science","display_name":"Actuarial science","score":0.35800665616989136},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.3047342896461487},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.28927069902420044},{"id":"https://openalex.org/keywords/computer-security","display_name":"Computer security","score":0.10454881191253662}],"concepts":[{"id":"https://openalex.org/C180706569","wikidata":"https://www.wikidata.org/wiki/Q13479982","display_name":"Cryptocurrency","level":2,"score":0.8921859264373779},{"id":"https://openalex.org/C2779687700","wikidata":"https://www.wikidata.org/wiki/Q20514253","display_name":"Blockchain","level":2,"score":0.7919825315475464},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.740972101688385},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6523376703262329},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.48610925674438477},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.3942745327949524},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.35800665616989136},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.3047342896461487},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.28927069902420044},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.10454881191253662}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1109/ojcs.2024.3370603","is_oa":true,"landing_page_url":"https://doi.org/10.1109/ojcs.2024.3370603","pdf_url":"https://ieeexplore.ieee.org/ielx7/8782664/9024218/10449426.pdf","source":{"id":"https://openalex.org/S4210176459","display_name":"IEEE Open Journal of the Computer Society","issn_l":"2644-1268","issn":["2644-1268"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310319808","host_organization_name":"Institute of Electrical and Electronics Engineers","host_organization_lineage":["https://openalex.org/P4310319808"],"host_organization_lineage_names":["Institute of Electrical and Electronics Engineers"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"IEEE Open Journal of the Computer Society","raw_type":"journal-article"},{"id":"pmh:oai:doaj.org/article:802e4dc2b7a349f18db0aacb6ebd3372","is_oa":true,"landing_page_url":"https://doaj.org/article/802e4dc2b7a349f18db0aacb6ebd3372","pdf_url":null,"source":{"id":"https://openalex.org/S112646816","display_name":"SHILAP Revista de lepidopterolog\u00eda","issn_l":"0300-5267","issn":["0300-5267","2340-4078"],"is_oa":true,"is_in_doaj":true,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"IEEE Open Journal of the Computer Society, Vol 5, Pp 83-94 (2024)","raw_type":"article"}],"best_oa_location":{"id":"doi:10.1109/ojcs.2024.3370603","is_oa":true,"landing_page_url":"https://doi.org/10.1109/ojcs.2024.3370603","pdf_url":"https://ieeexplore.ieee.org/ielx7/8782664/9024218/10449426.pdf","source":{"id":"https://openalex.org/S4210176459","display_name":"IEEE Open Journal of the Computer Society","issn_l":"2644-1268","issn":["2644-1268"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310319808","host_organization_name":"Institute of Electrical and Electronics Engineers","host_organization_lineage":["https://openalex.org/P4310319808"],"host_organization_lineage_names":["Institute of Electrical and Electronics Engineers"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"IEEE Open Journal of the Computer Society","raw_type":"journal-article"},"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G1231421488","display_name":null,"funder_award_id":"under","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G1581852910","display_name":null,"funder_award_id":"2020J0113","funder_id":"https://openalex.org/F4320321878","funder_display_name":"Natural Science Foundation of Fujian Province"},{"id":"https://openalex.org/G2087396116","display_name":null,"funder_award_id":"China","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G3219639725","display_name":null,"funder_award_id":"62277010","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G3317480652","display_name":null,"funder_award_id":"Science","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G391238517","display_name":null,"funder_award_id":", and","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G4073255983","display_name":null,"funder_award_id":"62302203","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G5796951025","display_name":null,"funder_award_id":"2020J01132","funder_id":"https://openalex.org/F4320321878","funder_display_name":"Natural Science Foundation of Fujian Province"},{"id":"https://openalex.org/G5994120800","display_name":null,"funder_award_id":"Natural","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G6330607538","display_name":null,"funder_award_id":"23022","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"}],"funders":[{"id":"https://openalex.org/F4320321001","display_name":"National Natural Science Foundation of China","ror":"https://ror.org/01h0zpd94"},{"id":"https://openalex.org/F4320321878","display_name":"Natural Science Foundation of Fujian Province","ror":null}],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W4392207920.pdf","grobid_xml":"https://content.openalex.org/works/W4392207920.grobid-xml"},"referenced_works_count":21,"referenced_works":["https://openalex.org/W2694190980","https://openalex.org/W2947690458","https://openalex.org/W2963175235","https://openalex.org/W2969971691","https://openalex.org/W3045932248","https://openalex.org/W3101098008","https://openalex.org/W4206680994","https://openalex.org/W4210404112","https://openalex.org/W4221147467","https://openalex.org/W4226475020","https://openalex.org/W4238283666","https://openalex.org/W4321377877","https://openalex.org/W4322770527","https://openalex.org/W4353052203","https://openalex.org/W4376056933","https://openalex.org/W4379988169","https://openalex.org/W4386005224","https://openalex.org/W4386320373","https://openalex.org/W4386798945","https://openalex.org/W4387058216","https://openalex.org/W4388275108"],"related_works":["https://openalex.org/W4210406818","https://openalex.org/W4306779889","https://openalex.org/W3048554917","https://openalex.org/W3211706803","https://openalex.org/W4382775358","https://openalex.org/W4246942721","https://openalex.org/W3209862047","https://openalex.org/W4386732777","https://openalex.org/W4304136894","https://openalex.org/W4303984095"],"abstract_inverted_index":{"Cryptocurrency,":[0],"a":[1,32,69,86,108],"novel":[2],"digital":[3,160],"asset":[4],"within":[5],"the":[6,16,23,39,47,56,90,97,123,141,156],"blockchain":[7],"technology":[8],"ecosystem,":[9],"has":[10,134],"recently":[11],"garnered":[12],"significant":[13,105],"attention":[14],"in":[15,137,154],"investment":[17],"world.":[18],"Despite":[19],"its":[20],"growing":[21],"popularity,":[22],"inherent":[24],"volatility":[25,57],"and":[26,65,129,139,152],"instability":[27],"of":[28,58,89,111,159],"cryptocurrency":[29],"investments":[30],"necessitate":[31],"thorough":[33],"risk":[34,115],"evaluation.":[35],"This":[36],"study":[37],"utilizes":[38],"Autoregressive":[40,49],"Moving":[41],"Average":[42],"(ARMA)":[43],"model":[44,53,133],"combined":[45],"with":[46,120,145],"Generalized":[48],"Conditionally":[50],"Heteroscedastic":[51],"(GARCH)":[52],"to":[54,75],"analyze":[55],"three":[59],"major":[60],"cryptocurrencies-Bitcoin":[61],"(BTC),":[62],"Ethereum":[63],"(ETH),":[64],"Binance":[66],"Coin":[67],"(BNB)-over":[68],"period":[70],"from":[71],"January":[72],"1,":[73],"2017,":[74],"October":[76],"29,":[77],"2022.":[78],"The":[79,113,131],"dataset":[80],"comprises":[81],"daily":[82],"closing":[83],"prices,":[84],"offering":[85],"comprehensive":[87],"view":[88],"market's":[91],"fluctuations.":[92],"Our":[93],"analysis":[94],"revealed":[95],"that":[96],"value-at-risk":[98],"(VaR)":[99],"curves":[100],"for":[101,150],"these":[102],"cryptocurrencies":[103],"demonstrate":[104],"volatility,":[106],"encompassing":[107],"broad":[109],"spectrum":[110],"returns.":[112],"overall":[114],"profile":[116],"is":[117],"relatively":[118],"high,":[119],"ETH":[121],"exhibiting":[122],"highest":[124],"risk,":[125],"followed":[126],"by":[127],"BTC":[128],"BNB.":[130],"ARMA-GARCH-VaR":[132],"proven":[135],"effective":[136],"quantifying":[138],"assessing":[140],"market":[142],"risks":[143],"associated":[144],"cryptocurrencies,":[146],"providing":[147],"valuable":[148],"insights":[149],"investors":[151],"policymakers":[153],"navigating":[155],"complex":[157],"landscape":[158],"assets.":[161]},"counts_by_year":[{"year":2025,"cited_by_count":7}],"updated_date":"2026-04-10T15:06:20.359241","created_date":"2025-10-10T00:00:00"}
