Regime changes in Bitcoin GARCH volatility dynamics

【Author】 Ardia, David; Bluteau, Keven; Ruede, Maxime

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】We test the presence of regime changes in the GARCH volatility dynamics of Bitcoin log-returns using Markov switching GARCH (MSGARCH) models. We also compare MSGARCH to traditional single-regime GARCH specifications in predicting one-day ahead Value-at-Risk (VaR). The Bayesian approach is used to estimate the model parameters and to compute the VaR forecasts. We find strong evidence of regime changes in the GARCH process and show that MSGARCH models outperform single-regime specifications when predicting the VaR.

【Keywords】Bitcoin; GARCH; MSGARCH; Value-at-Risk; Backtesting; Bayesian estimation

【发表时间】2019 JUN

【收录时间】2022-01-02

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