Forecasting bitcoin volatility: Evidence from the options market

被引：21

作者：

Hoang, Lai T. ^{[1
,2
]}

Baur, Dirk G. ^{[1
]}

机构：

[1] Univ Western Australia, UWA Business Sch, Crawley, WA 6009, Australia

[2] Natl Econ Univ, Hanoi, Vietnam

来源：

JOURNAL OF FUTURES MARKETS | 2020年 / 40卷 / 10期

关键词：

bitcoin; bitcoin options market; forecasting; implied volatility; realized volatility; IMPLIED VOLATILITY; INFORMATION-CONTENT; FOREIGN-EXCHANGE; STOCK; PRICE; CRYPTOCURRENCY;

D O I：

10.1002/fut.22144

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper studies a large number of bitcoin (BTC) options traded on the options exchange Deribit. We use the trades to calculate implied volatility (IV) and analyze if volatility forecasts can be improved using such information. IV is less accurate than AutoRegressive-Moving-Average or Heterogeneous Auto-Regressive model forecasts in predicting short-term BTC volatility (1 day ahead), but superior in predicting long-term volatility (7, 10, 15 days ahead). Furthermore, a combination of IV and model-based forecasts provides the highest accuracy for all forecasting horizons revealing that the BTC options market contains unique information.

引用

页码：1584 / 1602

页数：19