Volatility forecasting in Bull and Bear Cycles: Evidence from the Cryptocurrency Market

QR Code

Volatility forecasting in Bull and Bear Cycles: Evidence from the Cryptocurrency Market

The purpose of this research is to add to the literature on the topic of market efficiency for the cryptocurrency market, adding to the previous findings through testing for weak-form efficiency of the returns between bullish and bearish samples. In addition to this, the study attempts to accurately...

Full description

Bibliographic Details
Main Author:	Morris, Jack
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2021
Online Access:	https://eprints.nottingham.ac.uk/66443/

Similar Items

Volatility Forecasting in Bull and Bear Markets: Evidence from the US stock market
by: Sideris, Epameinondas
Published: (2016)

The Evidence of Size Effect During Bull and Bear Markets
by: Mohd Yacob, Nathrah
Published: (2006)

Monetary policy and stock market volatility in ASEAN5: asymmetries over bull and bear markets
by: Zare, Roohollah, et al.
Published: (2013)

Asymmetric effects of monetary policy over bull and bear stock market cycles in selected Asean countries
by: Zare, Roohollah
Published: (2014)

The Performance of European Mutual Funds Under Bull and Bear Market Conditions
by: Galea, Daniel
Published: (2020)

Can cryptocurrencies act as a hedge to stock market volatility? Evidence from geopolitical risk and economic pocily uncertainty
by: Chua, Kar Hoon, et al.
Published: (2022)

Modeling the volatility of cryptocurrencies: an empirical application of stochastic volatility models
by: Zahid, Mamoona, et al.
Published: (2020)

Evaluating the financial performance of the socially responsible investment under the bull and the bear market conditions
by: Liu, Jinxin
Published: (2011)

Trading volume and realized volatility forecasting: evidence from the China stock market
by: Liu, Min, et al.
Published: (2022)

Unraveling the effects of google search on volatility of cryptocurrencies
by: Cai, Zhao, et al.
Published: (2018)

The role of high-frequency data in volatility forecasting: evidence from the China stock market
by: Liu, Min, et al.
Published: (2021)

Forecasting Malaysian stock market volatility
by: Ng, Chee Pung, et al.
Published: (2012)

Volatility connectedness of major cryptocurrency: The role of geopolitical risk
by: Sin, Yi Feng
Published: (2023)

Volatility Forecasting in Stock Markets: Evidence from the Chinese Stock Market, the UK Stock Market, and the US Stock Market
by: Wang, Lin
Published: (2020)

Comparative performance of machine learning algorithms for cryptocurrency forecasting
by: Hitam, Nor Azizah, et al.
Published: (2018)

Modelling and Forecasting Volatility by GARCH models: The Empirical Evidence of China’s Stock Markets
by: Zhang, Jiahao
Published: (2019)

Volatility forecasting with the wavelet transformation algorithm GARCH model: Evidence from African stock markets
by: Ismail, Mohd Tahir, et al.
Published: (2016)

Herd Behaviour in Cryptocurrency Markets
by: Thompson, Nik
Published: (2020)

Cryptocurrencies, fiat money or gold standard: an empirical evidence from volatility structure analysis using news impact curve
by: Othman, Anwar Hasan Abdullah, et al.
Published: (2019)

Modeling and Forecasting Volatility: An Empirical Evidence from the Bombay Stock Exchange
by: Thakker, Jai
Published: (2011)

How information asymmetry and cybercriminal risk affect volatility and return of cryptocurrencies
by: Wan Jamarul Imran, Wan Atiqah, et al.
Published: (2021)

Implied volatility forecasting in the options market: a survey
by: Mohamad, Azhar
Published: (2016)

Forecasting volatility in Chinese and Hong Kong stock markets.
by: Wu, Ming
Published: (2011)

Performance of GARCH models in forecasting stock market volatility.
by: Choo, Wei Chong, et al.
Published: (1999)

Modelling and Forecasting Volatility of Equity Market Indices And Gold Using Univariate GARCH Models: Evidence from Singapore
by: Kyaw Swar, Linn
Published: (2020)

Forecasting property market dynamics: Insights from the property cycle indicator
by: Puah, Chin-Hong, et al.
Published: (2016)

Volatility forecasting in the Chinese commodity futures market with intraday data
by: Ying, Jiang, et al.
Published: (2016)

Forecasting stock market volatility on Bursa Malaysia Plantation Index
by: Lee, Hui Shan, et al.
Published: (2016)

The role of implied volatility in volatility combining forecasts
by: Ho, Jen Sim, et al.
Published: (2024)

The efficiency of cryptocurrency in portfolio diversification: evidence from the Covid-19 pandemic
by: Boodhun, Heshina
Published: (2022)

Time varying risk aversion and its connectedness: evidence from cryptocurrencies
by: Corbet, S., et al.
Published: (2024)

The volatility of the stock market and financial cycle : GARCH family models
by: Tran, Thuy Nhung
Published: (2022)

How Cryptocurrencies diversify macroeconomic risk: Investigating US macroeconomic impacts on cryptocurrency markets from a monetarism and credit creation perspective.
by: Afreh, Kwame
Published: (2021)

Cryptocurrency from Shariah perspective
by: Oziev, Gapur, et al.
Published: (2018)

Cryptocurrency from shariah perspective
by: Gapur, Oziev
Published: (2018)

Investigating the Cryptocurrency Market and its Impact on Financial Institutions
by: Rangi, Simranraj Kaur
Published: (2021)

Forecasting Oil price and Volatility
by: Yu, Man Tao
Published: (2009)

Evaluating the Hedging Performance of Malaysian Crude Palm Oil Futures Contract : Insights Into the Segmentation of Bull/Bear Market and The Impact of The Global Financial Crisis
by: Ku, Lee Yin
Published: (2017)

Policing cryptocurrencies
by: Zulhuda, Sonny
Published: (2017)

Cryptocurrency returns, volatility and investor attention: an empirical analysis using econometric and machine learning techniques
by: Gadirli, Farid
Published: (2025)