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 | Size | Format | |
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DP_1419_SFB823_Köchling_Schmidtke_Posch.pdf | DNB | 325.54 kB | Adobe PDF | View/Open |
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