We perform a large-scale empirical study to compare the forecasting performance of single-regime and Markov-switching GARCH (MSGARCH) models from a risk management perspective. We find that, for daily, weekly, and ten-day equity log-returns, MSGARCH models yield more accurate Value-at-Risk,...

This paper studies the leverage effect and its propagation over time. We show that common volatility models like the GJRGARCH, the Exponential GARCH, and the asymmetric SV can be inappropriate to correctly represent the leverage effect and its propagation for financial time series. We propose to...

This paper studies the behaviour of Bitcoin returns at different sample frequencies. We consider high frequency returns starting from tick-by-tick price changes traded at the Bitstamp and Coinbase exchanges. We find evidence of a smooth intra-daily seasonality pattern, and an abnormal trade- and...