Bitcoin volatility forecasting with the HAR-type models
We aim to forecast the volatility of bitcoin using high-frequency data in this paper. Based on the HAR-RV model, we construct extensive HAR-type models by including various jump components and analysis their in-sample regression fitness and out-of-sample forecast abilities. We verify the importance...
| Main Author: | |
|---|---|
| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2019
|
| Online Access: | https://eprints.nottingham.ac.uk/57681/ |