Volatility forecasting accuracy for Bitcoin

DOI10.1016/J.ECONLET.2019.108836MaRDI QIDQ777644zbMATH OpenOpenAlexWikidataFDO

Authors Gerrit Köchling, Philipp Schmidtke, Peter N. Posch

Publication date 7 July 2020

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/2003/38165

zbMATH Keywords

GARCHmodel confidence setvolatilitycryptocurrencyBitcoinrobust loss function

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Recommendations

• Forecasting volatility in bitcoin market
• Modelling and predicting the Bitcoin volatility using GARCH models
• Risk quantification and validation for Bitcoin
• Volatility and return jumps in Bitcoin
• Volatility estimation for Bitcoin: a comparison of GARCH models

Cites work

• A Reality Check for Data Snooping
• Asymptotic Inference about Predictive Ability
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Jump-robust volatility estimation using nearest neighbor truncation
• The Model Confidence Set
• Volatility estimation for Bitcoin: a comparison of GARCH models
• Volatility forecast comparison using imperfect volatility proxies

Cited in

(11)

• Modelling and predicting the Bitcoin volatility using GARCH models
• Volatility prediction comparison via robust volatility proxies: an empirical deviation perspective
• Assessing the accuracy of exponentially weighted moving average models for Value-at-Risk and Expected Shortfall of crypto portfolios
• Forecasting volatility in bitcoin market
• Transaction activity and bitcoin realized volatility
• Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin
• Temporal mixture ensemble models for probabilistic forecasting of intraday cryptocurrency volume
• Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling
• Bitcoin and Its Offspring: A Volatility Risk Approach
• Risk quantification and validation for Bitcoin
• Volatility estimation for Bitcoin: a comparison of GARCH models

Describes a project that uses

Uses Software

• Rugarch

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