Hosam Alden Riyadh

Type of the article: Research Article

Abstract
This study evaluates and compares risk measurement models for ten major cryptocurrencies: Bitcoin, Ethereum, Tether, Ripple, Dogecoin, Cardano, Binance Coin, Polkadot, Solana, and USD Coin. Using daily log-return data from January 2017 to October 2024, the analysis applies Modified Cornish-Fisher Value-at-Risk and standard, exponential, threshold, and Markov-switching generalized autoregressive conditional heteroskedasticity models. The main comparison is conducted at the 99% confidence level, while model reliability is assessed through out-of-sample backtesting using 500 observations and the Kupiec unconditional coverage and Christoffersen conditional coverage tests. The results reveal substantial heterogeneity in cryptocurrency risk. Modified Cornish-Fisher Value-at-Risk produces highly sensitive estimates for assets with extreme skewness and kurtosis, particularly Ripple, Cardano, and Dogecoin. However, no single model performs consistently better across all assets. Bitcoin is the only cryptocurrency for which all tested models pass both backtesting procedures. The Markov-switching specification provides acceptable coverage for Bitcoin, Ripple, and Dogecoin but does not consistently outperform conventional volatility models. Standard and asymmetric volatility models provide stronger support for Cardano, Binance Coin, and Polkadot, whereas Ethereum, Solana, and USD Coin remain difficult to model under the examined specifications. These findings demonstrate that cryptocurrency risk measurement requires asset-specific model selection based on both estimated loss magnitude and formal backtesting evidence.