Improving the realized GARCH's volatility forecast for Bitcoin with jump-robust estimators

【Author】 Hung, Jui-Cheng; Liu, Hung-Chun; Yang, J. Jimmy

【Source】NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE

【影响因子】3.136

【Abstract】This study employs the realized GARCH (RGARCH) model to estimate the volatility of Bitcoin returns and measure the benefits of various scaled realized measures in forecasting volatility. Empirical results show that considerable price jumps occurred in the Bitcoin market, suggesting that a jump-robust realized measure is crucial to estimate Bitcoin volatility. The RGARCH model, especially the one with tri-power variation, outperforms the standard GARCH model. Additionally, the RGARCH model with jump-robust realized measures can provide steady forecasting performance. This study is timely given that the CME may release a Bitcoin option product and our results are relevant to option pricing.

【Keywords】Bitcoin; Realized GARCH model; Jump-robust realized measure; Realized bi-power variation; Realized tri-power variation

【发表时间】2020 APR

【收录时间】2022-01-02

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