Behaviour of extreme volatility in cryptocurrency: Bitcoin VS ethereum.

Extreme Value Theory (EVT) is one of the methods in statistical modelling to obtain the probabilities and frequencies associated with extreme situations in finance. This approach focuses on extreme values and can provide a good estimate for the risk model. In this study, Generalized Pareto Distribution (GPD) is employed to model extreme returns in the cryptocurrency market from Jan, 2019 to Dec, 2021. The results found that Bitcoin is less volatile compared to other cryptocurrencies. Ethereum can be viewed as a risky cryptocurrency in this research. [ABSTRACT FROM AUTHOR]