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Forecasting Bitcoin realized volatility by measuring the spillover effect among cryptocurrencies

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  • Qiu, Yue
  • Wang, Yifan
  • Xie, Tian

Abstract

This paper studies whether the volatility spillover effect among cryptocurrencies matters for forecasting Bitcoin realized volatility. Our results show that Bitcoin volatility models considering the linkage effect have better in-sample explanatory power and significantly improve the performance for short-term forecasts.

Suggested Citation

  • Qiu, Yue & Wang, Yifan & Xie, Tian, 2021. "Forecasting Bitcoin realized volatility by measuring the spillover effect among cryptocurrencies," Economics Letters, Elsevier, vol. 208(C).
    • Handle: RePEc:eee:ecolet:v:208:y:2021:i:c:s0165176521003694
    DOI: 10.1016/j.econlet.2021.110092
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    References listed on IDEAS

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    Citations

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    Cited by:

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    2. Doan, Bao & Jayasuriya, Dulani & Lee, John B. & Reeves, Jonathan J., 2024. "Cryptocurrency systematic risk dynamics," Economics Letters, Elsevier, vol. 241(C).
    3. Zhao, Yihang & Zhou, Zhenxi & Zhang, Kaiwen & Huo, Yaotong & Sun, Dong & Zhao, Huiru & Sun, Jingqi & Guo, Sen, 2023. "Research on spillover effect between carbon market and electricity market: Evidence from Northern Europe," Energy, Elsevier, vol. 263(PF).
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    6. Wu, Lan & Xu, Weiju & Huang, Dengshi & Li, Pan, 2022. "Does the volatility spillover effect matter in oil price volatility predictability? Evidence from high-frequency data," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 299-306.

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    More about this item

    Keywords

    Bitcoin; Volatility forecasting; Heterogeneous autoregression; Common correlated effect;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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