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- W3006099554 endingPage "101165" @default.
- W3006099554 startingPage "101165" @default.
- W3006099554 abstract "This study employs the realized GARCH (RGARCH) model to estimate the volatility of Bitcoin returns and measure the benefits of various scaled realized measures in forecasting volatility. Empirical results show that considerable price jumps occurred in the Bitcoin market, suggesting that a jump-robust realized measure is crucial to estimate Bitcoin volatility. The RGARCH model, especially the one with tri-power variation, outperforms the standard GARCH model. Additionally, the RGARCH model with jump-robust realized measures can provide steady forecasting performance. This study is timely given that the CME may release a Bitcoin option product and our results are relevant to option pricing" @default.
- W3006099554 created "2020-02-24" @default.
- W3006099554 creator A5020939752 @default.
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- W3006099554 date "2020-04-01" @default.
- W3006099554 modified "2023-10-01" @default.
- W3006099554 title "Improving the realized GARCH’s volatility forecast for Bitcoin with jump-robust estimators" @default.
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- W3006099554 doi "https://doi.org/10.1016/j.najef.2020.101165" @default.
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