A forecast comparison of volatility models using realized volatility: evidence from the Bitcoin market
Author:
Affiliation:
1. Policy Research Institute, Ministry of Finance, Japan
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
https://www.tandfonline.com/doi/pdf/10.1080/13504851.2019.1644421
Reference16 articles.
1. Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts
2. The information content of risk-neutral skewness for volatility forecasting
3. Bitcoin, gold and the dollar – A GARCH volatility analysis
4. Hedging capabilities of bitcoin. Is it the virtual gold?
5. Structural GARCH: The Volatility-Leverage Connection
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3. Modeling Bitcoin Price Dynamics: Overcoming Kurtosis and Skewness Challenges for Enhanced Predictive Accuracy;Computational Economics;2024-06-17
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