Download This PaperVolatility Forecasting Accuracy for Bitcoin
13 Pages Posted: 28 Sep 2020
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: 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
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