We present a forecasting algorithm based on support vector regression emphasizing the practical benefits of wavelets for financial time series. We utilize an effective de-noising algorithm based on wavelets feasible under the assumption that a systematic pattern plus random noise generate the...

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