Volatility Forecasting Accuracy for Bitcoin

13 Pages Posted: 28 Sep 2020

See all articles by Gerrit Köchling

Gerrit Köchling

TU Dortmund University

Philipp Schmidtke

TU Dortmund University

Peter N. Posch

TU Dortmund University

Date Written: February 28, 2019

Abstract

We analyze the quality of Bitcoin volatility forecasting of GARCH-type models applying different volatility proxies and loss functions. We construct model confidence sets and find them to be systematically smaller for asymmetric loss functions and a jump robust proxy.

Keywords: Bitcoin, Cryptocurrency, GARCH, Volatility, Model confidence set, Robust loss function

JEL Classification: C5, C22, G1

Suggested Citation

Köchling, Gerrit and Schmidtke, Philipp and Posch, Peter N., Volatility Forecasting Accuracy for Bitcoin (February 28, 2019). Economics Letters, Vol. 191, 2020, Available at SSRN: https://ssrn.com/abstract=3667823

Gerrit Köchling (Contact Author)

TU Dortmund University ( email )

Friedrich-Wöhler-Weg 6
Dortmund, 44227
Germany

Philipp Schmidtke

TU Dortmund University ( email )

Friedrich-Wöhler-Weg 6
Dortmund, 44227
Germany

Peter N. Posch

TU Dortmund University ( email )

Otto Hahn Str. 6
Dortmund, 44227
Germany

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