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Bitcoin Volatility Forecasting Insights by 19hero.general45 is a document available to read on EtoBox.
This paper analyzes the volatility of Bitcoin, emphasizing the significance of jumps and structural breaks in forecasting. Utilizing high-frequency data and various heterogeneous autoregressive (HAR) models, the study finds that the HARQ-F-J model excels in out-of-sample forecasts, highlighting the importance of temporal variation and squared jump components. The inclusion of structural breaks also enhances forecasting accuracy across multiple time horizons, indicating that both jumps and structural breaks
- Author
- 19hero.general45
- Language
- EN