Forecasting Bitcoin realized volatility by measuring the spillover effect among cryptocurrencies

【Author】 Qiu, Yue; Wang, Yifan; Xie, Tian

【Source】ECONOMICS LETTERS

【影响因子】1.469

【Abstract】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.

【Keywords】Bitcoin; Volatility forecasting; Heterogeneous autoregression; Common correlated effect

【发表时间】2021 NOV

【收录时间】2022-01-01

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