Forecasting bitcoin volatility: Evidence from the options market

【Author】 Hoang, Lai T.; Baur, Dirk G.

【Source】JOURNAL OF FUTURES MARKETS

【影响因子】2.350

【Abstract】This paper studies a large number of bitcoin (BTC) options traded on the options exchange Deribit. We use the trades to calculate implied volatility (IV) and analyze if volatility forecasts can be improved using such information. IV is less accurate than AutoRegressive-Moving-Average or Heterogeneous Auto-Regressive model forecasts in predicting short-term BTC volatility (1 day ahead), but superior in predicting long-term volatility (7, 10, 15 days ahead). Furthermore, a combination of IV and model-based forecasts provides the highest accuracy for all forecasting horizons revealing that the BTC options market contains unique information.

【Keywords】bitcoin; bitcoin options market; forecasting; implied volatility; realized volatility

【发表时间】2020 OCT

【收录时间】2022-01-02

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