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

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

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