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Abstract This paper studies whether the volatility spillover effect among cryptocurrencies matters for forecasting Bitcoin realized volatility. Our results show that Bitcoin volatility models considering the linkage effect have better… Click to show full abstract
Abstract This paper studies whether the volatility spillover effect among cryptocurrencies matters for forecasting Bitcoin realized volatility. Our results show that Bitcoin volatility models considering the linkage effect have better in-sample explanatory power and significantly improve the performance for short-term forecasts.
Keywords:
among cryptocurrencies;
spillover effect;
volatility;
effect among;
effect;
forecasting bitcoin
Journal Title: Economics Letters
Year Published: 2021
Link to full text (if available)
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Journal Title: Economics Letters
Year Published: 2021
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!