Which factors drive Bitcoin volatility: Macroeconomic, technical, or both?

【Author】 Wang, Jiqian; Ma, Feng; Bouri, Elie; Guo, Yangli

【Source】JOURNAL OF FORECASTING

【影响因子】2.627

【Abstract】Academic research relies heavily on exogenous drivers to improve the forecasting accuracy of Bitcoin volatility. The present study provides additional insight into the role of both macroeconomic and technical indicators in forecasting the realized volatility of Bitcoin. Using 17 famous macroeconomic variables and 18 technical indicators between December 2011 and April 2021, the results reveal that the shrinkage methods, including elastic net and LASSO, can powerfully extract predictive information from macroeconomic and technical indicators. We further investigate the forecasting power of macroeconomic factors and technical indicators in terms of variable selection, business cycle, and volatility levels, and the results show strong evidence that the macroeconomic indicators (namely, S&P 500 realized volatility, global real economic activity index, and trade-weighted USD index return) are the most frequently selected by shrinkage method, suggesting that their ability to forecast Bitcoin volatility is stronger than that of technical indicators. However, technical indicators are more powerful in forecasting Bitcoin volatility during the low volatility state.

【Keywords】economic indicators; exogenous drivers; forecasting Bitcoin volatility; shrinkage method; technical indicators

【发表时间】

【收录时间】2022-11-30

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-价格预测