Cryptocurrency volatility forecasting: What can we learn from the first wave of the COVID-19 outbreak?
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DOI: 10.1007/s10479-021-04116-x
Abstract: This study aims to examine the issue of cryptocurrency volatility modelling and forecasting based on high-frequency data. More specifically, this study assesses whether crisis periods, particularly the coronavirus disease pandemic, influence the dynamic of cryptocurrency… read more here.
Keywords: volatility; cryptocurrency volatility; volatility forecasting; cryptocurrency ... See more keywords
Volatility forecasting in the Chinese commodity futures market with intraday data
Sign Up to like & getrecommendations! Published in 2017 at "Review of Quantitative Finance and Accounting"
DOI: 10.1007/s11156-016-0570-4
Abstract: Given the unique institutional regulations in the Chinese commodity futures market as well as the characteristics of the data it generates, we utilize contracts with three months to delivery, the most liquid contract series, to systematically… read more here.
Keywords: volatility; chinese commodity; volatility forecasting; commodity futures ... See more keywords
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
Implied correlation indices and volatility forecasting
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DOI: 10.1080/13504851.2016.1213357
Abstract: ABSTRACT Implied volatility indices are an important measure for ‘market fear’ and well-known in academia and practice. Correlation is still paid less attention even though the CBOE started to calculate implied correlation indices for the… read more here.
Keywords: correlation; volatility forecasting; indices volatility; implied correlation ... See more keywords