Modeling and forecasting the realized volatility of bitcoin using realized HAR-GARCH-type models with jumps and inverse leverage effect
Using the high-frequency data of Bitcoin, this study aims to model the time-varying volatility identified in the residuals of the heterogeneous autoregressive (HAR) model of realized volatility using the symmetric, asymmetric and long-memory generalized autoregressive conditional heteroscedastic (GA...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Penerbit Universiti Kebangsaan Malaysia
2022
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| Online Access: | http://journalarticle.ukm.my/19176/ http://journalarticle.ukm.my/19176/1/25.pdf |