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Titel
Volatility forecasting accuracy for Bitcoin / Gerrit Köchling, Philipp Schmidtke, Peter N. Posch
VerfasserKöchling, Gerrit ; Schmidtke, Philipp ; Posch, Peter N.
ErschienenDortmund : Universitätsbibliothek Dortmund, July 2019
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Elektronische Ressource
Umfang1 Online-Ressource (14 Seiten) : Diagramme
SerieDiscussion paper ; Nr. 14/2019
URNurn:nbn:de:hbz:6:2-125713 
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Volatility forecasting accuracy for Bitcoin [0.31 mb]
Zusammenfassung

We analyse the quality of Bitcoin volatility forecasting of GARCH-type models applying the commonly used volatility proxy based on squared daily returns as well as a jump-robust proxy based on intra-day returns and vary the degrees of asymmetry in robust loss functions. We construct model con dence sets (MCS) which contain superior models with a high probability and find them to be systematically smaller for asymmetric loss functions and the jump robust proxy. Our findings suggest a cautious use of GARCH models in forecasting Bitcoins volatility.

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