Robust estimation of the range-based GARCH model: Forecasting volatility, value at risk and expected shortfall of cryptocurrencies.

The file contains data used and analysed in the paper:Fiszeder P., Małecka M., Molnár P., Robust Estimation of the Range-Based GARCH Model: Forecasting Volatility, Value at Risk and Expected Shortfall of Cryptocurrencies, Economic Modelling, 141, 2024, 106887.The file contains open, close, low, high prices and realized variance for cryptocurrencies: Bitcoin (BTC/USD), Ethereum Classic (ETC/USD), Ethereum (ETH/USD), and Litecoin (LTC/USD).The data start from March 1, 2016, for BTC/USD; May 1, 2017, for ETC/USD; March 1, 2017, for ETH/USD; and April 1, 2017, for LTC/USD. All series end on December 31, 2021. One observation is added for the calculation of returns.