Volatility forecasting accuracy for Bitcoin

Gerrit Köchling, Philipp Schmidtke and Peter Posch

Economics Letters, 2020, vol. 191, issue C

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 (search for similar items in EconPapers)
JEL-codes: C22 C5 G1 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (21)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:191:y:2020:i:c:s0165176519304239

DOI: 10.1016/j.econlet.2019.108836

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