Volatility Forecasting Accuracy for Bitcoin
13 Pages Posted: 28 Sep 2020
Date Written: February 28, 2019
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
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