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.
引用
收藏
页数：5
相关论文
共 50 条
  • [41] A forecast comparison of volatility models using realized volatility: evidence from the Bitcoin market
    Hattori, Takahiro
    APPLIED ECONOMICS LETTERS, 2020, 27 (07) : 591 - 595
  • [42] Estimation of realized volatility of cryptocurrencies using CEEMDAN-RF-LSTM
    Wang, Huiqing
    Huang, Yongrong
    Chen, Zhide
    Yang, Xu
    Yi, Xun
    Dong, Hai
    Yang, Xuechao
    FUTURE GENERATION COMPUTER SYSTEMS-THE INTERNATIONAL JOURNAL OF ESCIENCE, 2024, 158 : 219 - 229
  • [43] Forecasting realized volatility: Does anything beat linear models?
    Branco, Rafael R.
    Rubesam, Alexandre
    Zevallos, Mauricio
    JOURNAL OF EMPIRICAL FINANCE, 2024, 78
  • [44] Forecasting Realized Volatility: The Choice of Window Size
    Feng, Yuqing
    Zhang, Yaojie
    JOURNAL OF FORECASTING, 2025, 44 (02) : 692 - 705
  • [45] Forecasting volatility with outliers in Realized GARCH models
    Cai, Guanghui
    Wu, Zhimin
    Peng, Lei
    JOURNAL OF FORECASTING, 2021, 40 (04) : 667 - 685
  • [46] Realized volatility forecasting: Robustness to measurement errors
    Cipollini, Fabrizio
    Gallo, Giampiero M.
    Otranto, Edoardo
    INTERNATIONAL JOURNAL OF FORECASTING, 2021, 37 (01) : 44 - 57
  • [47] Volatility spillover effects in leading cryptocurrencies: A BEKK-MGARCH analysis
    Katsiampa, Paraskevi
    Corbet, Shaen
    Lucey, Brian
    FINANCE RESEARCH LETTERS, 2019, 29 : 68 - 74
  • [48] Semi-Parametric Forecasting of Realized Volatility
    Becker, Ralf
    Clements, Adam E.
    Hurn, Stan
    STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS, 2011, 15 (03)
  • [49] Forecasting Bitcoin volatility: A new insight from the threshold regression model
    Zhang, Yaojie
    He, Mengxi
    Wen, Danyan
    Wang, Yudong
    JOURNAL OF FORECASTING, 2022, 41 (03) : 633 - 652
  • [50] FORECASTING BITCOIN VOLATILITY USING TWO-COMPONENT CARR MODEL
    Wu, Xinyu
    Niu, Shenghao
    Xie, Haibin
    ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, 2020, 54 (03) : 77 - 94
12345