Window effect with Markov-switching GARCH model in cryptocurrency market

Chuanzhen Wu

Chaos, Solitons & Fractals, 2021, vol. 146, issue C

Abstract: The non-stationarity of cryptocurrency is mainly attributed to structural breaks. Many studies use the rolling windows to deal with structural breaks. However the selection of windows is an open question without a systematic answer. This study investigates the window effect on in-sample coefficient estimation and out-of-sample forecasting. The results provide evidence on the stability of coefficient estimation under various window selections. However, in forecast, some specific window size shows much better accuracy of left-tail predictions in stable patterns. It provides a possibility to get better out-of-sample forecast by choosing a window from the historical data.

Keywords: Cryptocurrency; Structural break; Regime switch; Window size (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:146:y:2021:i:c:s0960077921002563

DOI: 10.1016/j.chaos.2021.110902

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