Bitcoin return volatility forecasting using nonparametric GARCH models

被引:0
作者
Mestiri, Sami [1 ]
机构
[1] Univ Monastir, Fac Sci Mahdia Management & Econ, EAS Mahdia Res Unit, Monastir, Tunisia
关键词
Bitcoin; volatility; GARCH; nonparametric; forecasting; TIME-SERIES;
D O I
10.1142/S242478632450018X
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
Bitcoin has received a lot of attention from both investors and analysts, as it forms the highest market capitalization in the cryptocurrency market. The use of parametric GARCH models to characterize the volatility of Bitcoin returns is widely observed in the empirical literature. In this paper, we consider an alternative approach involving nonparametric method to model and forecast Bitcoin return volatility. We show that the out-of-sample volatility forecast of the nonparametric GARCH model yields superior performance relative to an extensive class of parametric GARCH models. The improvement in forecasting accuracy of Bitcoin return volatility based on the nonparametric GARCH model suggests that this method offers an attractive and viable alternative to the commonly used parametric GARCH models.
引用
收藏
页数:15
相关论文
共 18 条
[1]   GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY [J].
BOLLERSLEV, T .
JOURNAL OF ECONOMETRICS, 1986, 31 (03) :307-327
[2]  
Bollevslev T., 1992, ECONOMET REV, V11, P143, DOI DOI 10.1080/07474939208800229
[3]  
Bouoiyour J, 2016, ECON BULL, V36, P843
[4]   Price discovery on Bitcoin exchanges [J].
Brandvold, Morten ;
Molnar, Peter ;
Vagstad, Kristian ;
Valstad, Ole Christian Andreas .
JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY, 2015, 36 :18-35
[5]   An algorithm for nonparametric GARCH modelling [J].
Bühlmann, P ;
McNeil, AJ .
COMPUTATIONAL STATISTICS & DATA ANALYSIS, 2002, 40 (04) :665-683
[6]   GARCH 101: The use of ARCH/GARCH models in applied econometrics [J].
Engle, R .
JOURNAL OF ECONOMIC PERSPECTIVES, 2001, 15 (04) :157-168
[7]   SEMIPARAMETRIC ARCH MODELS [J].
ENGLE, RF ;
GONZALEZRIVERA, G .
JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 1991, 9 (04) :345-359
[8]   Efficient estimation of conditional variance functions in stochastic regression [J].
Fan, JQ ;
Yao, Q .
BIOMETRIKA, 1998, 85 (03) :645-660
[9]  
Ghalanos A., 2011, Rgarch: A package for flexible GARCH modelling in R. Version 1.89
[10]   ON THE RELATION BETWEEN THE EXPECTED VALUE AND THE VOLATILITY OF THE NOMINAL EXCESS RETURN ON STOCKS [J].
GLOSTEN, LR ;
JAGANNATHAN, R ;
RUNKLE, DE .
JOURNAL OF FINANCE, 1993, 48 (05) :1779-1801