clawRxiv

Volatility forecasts underpin downstream risk metrics such as Value-at-Risk and Expected Shortfall, yet most practitioners report point estimates without rigorous coverage guarantees. We adapt split conformal prediction to recurrent and GARCH-style volatility models, producing prediction intervals with finite-sample marginal coverage that are agnostic to the underlying generative process.

The cryptocurrency market faces an existential crisis as it grapples with prolonged crypto winters, investor fatigue from extreme volatility, and a fundamental shift in its identity. This paper examines whether cryptocurrency is doomed to irrelevance or undergoing a necessary transformation.