Volatility forecasting accuracy for Bitcoin
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DOI: 10.1016/j.econlet.2019.108836
Abstract: Abstract 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… read more here.
Keywords: bitcoin volatility; volatility; forecasting accuracy; accuracy bitcoin ... See more keywords