Regime-Dependent Good and Bad Volatility of Bitcoin

Journal of Risk and Financial Management

DirkG. Baur¹  KislayKumar Jha² 

[1] Business School, University of Western Australia, Perth, WA 6009, Australia;Indian Institute of Technology (IIT) Kanpur, Uttar Pradesh 208016, India;

关键词: semivariance;    bitcoin;    volatility asymmetry;    high-frequency data;    HAR;    quantile regression;   

DOI  :  10.3390/jrfm13120312

来源: DOAJ

【 摘 要 】

This paper analyzes high-frequency estimates of good and bad realized volatility of Bitcoin. We show that volatility asymmetry depends on the volatility regime and the forecast horizon. For one-day ahead forecasts, good volatility commands a stronger impact on future volatility than bad volatility on average and in extreme volatility regimes but not across all quantiles and volatility regimes. For 7-day ahead forecasting horizons the asymmetry is similar to that observed in stock markets and becomes stronger with increasing volatility. Compared with stock markets, the persistence and predictability of volatility is low indicating high variations of volatility.

【 授权许可】

Unknown