Modeling the volatility of Bitcoin returns using Nonparametric GARCH models

Sami Mestiri

Journal of Academic Finance, 2022, vol. 13, issue 1, 2 - 16

Abstract: Objective: The purpose of this paper is to demonstrate the effectiveness of the nonparametric GARCH model for the prediction of future Bitcoin prices. Methodology: The parametric GARCH models to characterize the volatility of Bitcoin returns are widely used in the empirical literature. Alternatively, we consider a non-parametric approach to model and forecast the volatility of Bitcoin returns. Results: We show that the volatility forecast of the nonparametric GARCH model yields superior performance compared to an extended class of parametric GARCH models. Originality / relevance: The improved accuracy of forecasting the volatility of Bitcoin returns based on the nonparametric GARCH model suggests that this method offers an attractive and viable alternative to commonly used GARCH parametric models.

Keywords: Bitcoin; volatility; GARCH; Nonparametric; Forecasting (search for similar items in EconPapers)
JEL-codes: G3 M1 N8 (search for similar items in EconPapers)
Date: 2022
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Working Paper: Modelling the volatility of Bitcoin returns using Nonparametric GARCH models (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:jaf:journl:v:13:y:2022:i:1:n:373

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