Full metadata record
DC FieldValueLanguage
dc.contributor.authorKöchling, Gerrit-
dc.contributor.authorSchmidtke, Philipp-
dc.contributor.authorPosch, Peter N.-
dc.date.accessioned2019-08-05T12:52:14Z-
dc.date.available2019-08-05T12:52:14Z-
dc.date.issued2019-
dc.identifier.urihttp://hdl.handle.net/2003/38165-
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-20144-
dc.description.abstractWe 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.en
dc.language.isoende
dc.relation.ispartofseriesDiscussion Paper / SFB823;14/2019en
dc.subjectbitcoinen
dc.subjectcryptocurrencyen
dc.subjectGARCHen
dc.subjectvolatilityen
dc.subjectmodel confidence seten
dc.subjectrobust loss functionen
dc.subject.ddc310-
dc.subject.ddc330-
dc.subject.ddc620-
dc.titleVolatility forecasting accuracy for Bitcoinen
dc.typeTextde
dc.type.publicationtypeworkingPaperde
dcterms.accessRightsopen access-
eldorado.secondarypublicationfalsede
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.