Which predictor is more predictive for Bitcoin volatility? And why?

被引:29
作者
Liang, Chao [1 ]
Zhang, Yaojie [2 ]
Li, Xiafei [1 ]
Ma, Feng [1 ]
机构
[1] Southwest Jiaotong Univ, Sch Econ & Management, Chengdu, Peoples R China
[2] Nanjing Univ Sci & Technol, Sch Econ & Management, Nanjing, Peoples R China
基金
中国国家自然科学基金;
关键词
Bitcoin; forecasting; GARCH-MIDAS; volatility; STOCK-MARKET VOLATILITY; CRUDE-OIL; COMBINATION FORECASTS; INVESTOR SENTIMENT; SAMPLE; MODEL; RETURNS; PRICES; DOLLAR; ROBUST;
D O I
10.1002/ijfe.2252
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
Being more and more popular in the past 10 years, Bitcoin has drawn extensive attention from the press, scholars, and practitioners. The aim of this paper is to investigate which predictor is more predictive for Bitcoin volatility from the aspects of in-sample and out-of-sample in a high-speed changing world. We utilise the GARCH-MIDAS model to examine the predictive power of five crucial predictors, including VIX, GVZ, Google Trends, GEPU, and GPR. Our findings provide strong evidence that GVZ exhibits strongest predictability for Bitcoin volatility over other competing predictors. Other empirical results based on different out-of-sample forecasting periods, alternative loss functions and combination methods further ensure our major conclusions are robust.
引用
收藏
页码:1947 / 1961
页数:15
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