Forecasting Bitcoin realized volatility by measuring the spillover effect among cryptocurrencies
Yifan Wang and
Economics Letters, 2021, vol. 208, issue C
This paper studies whether the volatility spillover effect among cryptocurrencies matters for forecasting Bitcoin realized volatility. Our results show that Bitcoin volatility models considering the linkage effect have better in-sample explanatory power and significantly improve the performance for short-term forecasts.
Keywords: Bitcoin; Volatility forecasting; Heterogeneous autoregression; Common correlated effect (search for similar items in EconPapers)
JEL-codes: G12 G17 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:208:y:2021:i:c:s0165176521003694
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