Which predictor is more predictive for Bitcoin volatility? And why?

Which predictor is more predictive for Bitcoin volatility? And why?

Being more and more popular in the past 10 years, Bitcoin has drawn extensive attention from the press, scholars, and practitioners. The aim of this paper is to investigate which predictor is more predictive for Bitcoin volatility from the aspects of in‐sample and out‐of‐sample in a high‐speed chang...

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Veröffentlicht in:International journal of finance and economics 2022-04, Vol.27 (2), p.1947-1961
Hauptverfasser: Liang, Chao, Zhang, Yaojie, Li, Xiafei, Ma, Feng
Format: Artikel
Sprache:eng
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Bitcoin
Digital currencies
forecasting
GARCH‐MIDAS
Stochastic models
Volatility
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container_end_page 1961
container_issue 2
container_start_page 1947
container_title International journal of finance and economics
container_volume 27
creator Liang, Chao
Zhang, Yaojie
Li, Xiafei
Ma, Feng
description Being more and more popular in the past 10 years, Bitcoin has drawn extensive attention from the press, scholars, and practitioners. The aim of this paper is to investigate which predictor is more predictive for Bitcoin volatility from the aspects of in‐sample and out‐of‐sample in a high‐speed changing world. We utilise the GARCH‐MIDAS model to examine the predictive power of five crucial predictors, including VIX, GVZ, Google Trends, GEPU, and GPR. Our findings provide strong evidence that GVZ exhibits strongest predictability for Bitcoin volatility over other competing predictors. Other empirical results based on different out‐of‐sample forecasting periods, alternative loss functions and combination methods further ensure our major conclusions are robust.
doi_str_mv 10.1002/ijfe.2252
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source Wiley Online Library Journals Frontfile Complete; EBSCOhost Business Source Complete
subjects Bitcoin
Digital currencies
forecasting
GARCH‐MIDAS
Stochastic models
Volatility
title Which predictor is more predictive for Bitcoin volatility? And why?
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