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
cryptocurrency
GARCH
volatility
model confidence set
robust loss function
URI: http://hdl.handle.net/2003/38165
http://dx.doi.org/10.17877/DE290R-20144
Issue Date: 2019
Appears in Collections:Sonderforschungsbereich (SFB) 823

Files in This Item:
File Description SizeFormat 
DP_1419_SFB823_Köchling_Schmidtke_Posch.pdfDNB325.54 kBAdobe PDFView/Open


This item is protected by original copyright



All resources in the repository are protected by copyright.