Long- and Short-Term Cryptocurrency Volatility Components: A GARCH-MIDAS Analysis

被引：186

作者：

Conrad, Christian ^{[1
]}

Custovic, Anessa ^{[2
]}

Ghysels, Eric ^{[2
,3
]}

机构：

[1] Heidelberg Univ, Dept Econ, Bergheimer Str 58, D-69115 Heidelberg, Germany

[2] Univ N Carolina, Dept Econ, Chapel Hill, NC 27599 USA

[3] Univ N Carolina, Kenan Flagler Sch Business, Dept Finance, CEPR, Chapel Hill, NC 27599 USA

来源：

JOURNAL OF RISK AND FINANCIAL MANAGEMENT | 2018年 / 11卷 / 02期

关键词：

Baltic dry index; Bitcoin volatility; digital currency; GARCH-MIDAS; pro-cyclical volatility; volume;

D O I：

10.3390/jrfm11020023

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We use the GARCH-MIDAS model to extract the long- and short-term volatility components of cryptocurrencies. As potential drivers of Bitcoin volatility, we consider measures of volatility and risk in the US stock market as well as a measure of global economic activity. We find that S&P 500 realized volatility has a negative and highly significant effect on long-term Bitcoin volatility. The finding is atypical for volatility co-movements across financial markets. Moreover, we find that the S&P 500 volatility risk premium has a significantly positive effect on long-term Bitcoin volatility. Finally, we find a strong positive association between the Baltic dry index and long-term Bitcoin volatility. This result shows that Bitcoin volatility is closely linked to global economic activity. Overall, our findings can be used to construct improved forecasts of long-term Bitcoin volatility.

引用

页数：12

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