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- W3092956397 abstract "We test various volatility models using the Bitcoin spot price series. Our models include HIST, EMA ARCH, GARCH, and EGARCH, models. Both of our in-sample-fit and out-of-sample-forecast results suggest that GARCH and EGARCH models perform much better than other models. Moreover, the EGARCH model's asymmetric term is positive and insignificant, which suggests that Bitcoin prices lack the asymmetric volatility response to past returns. Finally, we formulate an option trading strategy by exploiting the volatility spread between the GARCH volatility forecast and the option's implied volatility. We show that a simple volatility-spread trading strategy with delta-hedging can yield robust profits." @default.
- W3092956397 created "2020-10-22" @default.
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- W3092956397 date "2020-10-04" @default.
- W3092956397 modified "2023-09-27" @default.
- W3092956397 title "A Horserace of Volatility Models for Cryptocurrency: Evidence from Bitcoin Spot and Option Markets" @default.
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- W3092956397 hasPublicationYear "2020" @default.
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