Köchling, GerritSchmidtke, PhilippPosch, Peter N.2019-08-052019-08-052019http://hdl.handle.net/2003/3816510.17877/DE290R-20144We 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.enDiscussion Paper / SFB823;14/2019bitcoincryptocurrencyGARCHvolatilitymodel confidence setrobust loss function310330620working paper