Exogenous Drivers of Bitcoin and Cryptocurrency Volatility – A Mixed Data Sampling Approach to Forecasting
Thomas Walther,
Tony Klein and
Elie Bouri
No 2018/02, QBS Working Paper Series from Queen's University Belfast, Queen's Business School
Abstract:
We apply the GARCH-MIDAS framework to forecast the daily, weekly, and monthly volatility of five highly capitalized Cryptocurrencies (Bitcoin, Etherium, Litecoin, Ripple, and Stellar) as well as the Cryptocurrency index CRIX. Based on the prediction quality, we determine the most important exogenous drivers of volatility in Cryptocurrency markets. We find that the Global Real Economic Activity outperforms all other economic and financial drivers under investigation. We also show that the Global Real Economic Activity provides superior volatility predictions for both, bull and bear markets. In addition, the average forecast combination results in low loss functions. This indicates that the information content of exogenous factors is time-varying and the model averaging approach diversifies the impact of single drivers.
Keywords: Bitcoin; Cryptocurrencies; GARCH; Mixed Data Sampling; Volatility (search for similar items in EconPapers)
JEL-codes: C10 C58 G11 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations:
Downloads: (external link)
https://www.econstor.eu/bitstream/10419/271218/1/qms-rp2018-02.pdf (application/pdf)
Related works:
Journal Article: Exogenous drivers of Bitcoin and Cryptocurrency volatility – A mixed data sampling approach to forecasting (2019) 
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:zbw:qmsrps:201802
DOI: 10.2139/ssrn.3192474
Access Statistics for this paper
More papers in QBS Working Paper Series from Queen's University Belfast, Queen's Business School Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().