Authors: Köchling, Gerrit
Schmidtke, Philipp
Posch, Peter N.
Title: Volatility forecasting accuracy for Bitcoin
Language (ISO): en
Abstract: We analyse the quality of Bitcoin volatility forecasting of GARCH-type models applying the commonly used volatility proxy based on squared daily returns as well as a jump-robust proxy based on intra-day returns and vary the degrees of asymmetry in robust loss functions. We construct model confidence sets (MCS) which contain superior models with a high probability and find them to be systematically smaller for asymmetric loss functions and the jump robust proxy. Our findings suggest a cautious use of GARCH models in forecasting Bitcoin's volatility.
Subject Headings: bitcoin
model confidence set
robust loss function
Issue Date: 2019
Appears in Collections:Sonderforschungsbereich (SFB) 823

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