Volatility Forecasting Accuracy for Bitcoin

We analyze the quality of Bitcoin volatility forecasting of GARCH-type models applying different volatility proxies and loss functions. We construct model confidence sets and find them to be systematically smaller for asymmetric loss functions and a jump robust proxy

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Year of publication:	2020
Authors:	Köchling, Gerrit
Other Persons:	Schmidtke, Philipp (contributor) ; Posch, Peter N. (contributor)
Publisher:	[2020]: [S.l.] : SSRN
Subject:	Volatilität \| Volatility \| Prognoseverfahren \| Forecasting model \| Virtuelle Währung \| Virtual currency

Extent:	1 Online-Ressource (13 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Economics Letters, Vol. 191, 2020 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 28, 2019 erstellt
Classification:	C5 - Econometric Modeling ; C22 - Time-Series Models ; G1 - General Financial Markets
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012826448