Forecasting Bitcoin realized volatility by measuring the spillover effect among cryptocurrencies

被引：14
|
作者：
Qiu, Yue [1 ]
Wang, Yifan [2 ]
Xie, Tian [2 ]
机构：
[1] Shanghai Univ Int Business & Econ, Finance Sch, Shanghai, Peoples R China
[2] Shanghai Univ Finance & Econ, Coll Business, Rm 413, Shanghai 200433, Peoples R China
来源：
ECONOMICS LETTERS | 2021年 / 208卷
关键词：
Bitcoin; Volatility forecasting; Heterogeneous autoregression; Common correlated effect; RETURN; ERROR;
D O I：
10.1016/j.econlet.2021.110092
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper studies whether the volatility spillover effect among cryptocurrencies matters for forecasting Bitcoin realized volatility. Our results show that Bitcoin volatility models considering the linkage effect have better in-sample explanatory power and significantly improve the performance for short-term forecasts. (C) 2021 Elsevier B.V. All rights reserved.
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页数：5
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