Jump-Robust Realized-GARCH-MIDAS-X Estimators for Bitcoin and Ethereum Volatility Indices

Julien Chevallier () and Bilel Sanhaji
Additional contact information
Julien Chevallier: Economics Department, Université Paris 8 (LED), 2 rue de la Liberté, 93526 Saint-Denis, France

Stats, 2023, vol. 6, issue 4, 1-32

Abstract: In this paper, we conducted an empirical investigation of the realized volatility of cryptocurrencies using an econometric approach. This work’s two main characteristics are: (i) the realized volatility to be forecast filters jumps, and (ii) the benefit of using various historical/implied volatility indices from brokers as exogenous variables was explicitly considered. We feature a jump-robust extension of the REGARCH-MIDAS-X model incorporating realized beta GARCH processes and MIDAS filters with monthly, daily, and hourly components. First, we estimated six jump-robust estimators of realized volatility for Bitcoin and Ethereum that were retained as the dependent variable. Second, we inserted ten Bitcoin and Ethereum volatility indices gathered from various exchanges as an exogenous variable, each at a time. Third, we explored their forecasting ability based on the MSE and QLIKE statistics. Our sample spanned the period from May 2018 to January 2023. The main result featured the best predictors among the volatility indices for Bitcoin and Ethereum derived from 30-day implied volatility. The significance of the findings could mostly be attributable to the ability of our new model to incorporate financial and technological variables directly into the specification of the Bitcoin and Ethereum volatility dynamics.

Keywords: realized volatility; jumps; Bitcoin; Ethereum; REGARCH-MIDAS-X; forecasting (search for similar items in EconPapers)
JEL-codes: C1 C10 C11 C14 C15 C16 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.mdpi.com/2571-905X/6/4/82/pdf (application/pdf)
https://www.mdpi.com/2571-905X/6/4/82/ (text/html)

Related works:
Working Paper: Jump-Robust Realized-GARCH-MIDAS-X Estimators for Bitcoin and Ethereum Volatility Indices (2023)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jstats:v:6:y:2023:i:4:p:82-1370:d:1298480

Access Statistics for this article

Stats is currently edited by Mrs. Minnie Li

More articles in Stats from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().