IDEAS home Printed from https://ideas.repec.org/a/spr/aodasc/v12y2025i2d10.1007_s40745-024-00517-4.html
   My bibliography  Save this article

Assessing the Risk of Bitcoin Futures Market: New Evidence

Author

Listed:
  • Anupam Dutta

    (University of Vaasa)

Abstract

The main objective of this paper is to forecast the realized volatility (RV) of Bitcoin futures (BTCF) market. To serve our purpose, we propose an augmented heterogenous autoregressive (HAR) model to consider the information on time-varying jumps observed in BTCF returns. Specifically, we estimate the jump-induced volatility using the GARCH-jump process and then consider this information in the HAR model. Both the in-sample and out-of-sample analyses show that jumps offer added information which is not provided by the existing HAR models. In addition, a novel finding is that the jump-induced volatility offers incremental information relative to the Bitcoin implied volatility index. In sum, our results indicate that the HAR-RV process comprising the leverage effects and jump volatility would predict the RV more precisely compared to the standard HAR-type models. These findings have important implications to cryptocurrency investors.

Suggested Citation

  • Anupam Dutta, 2025. "Assessing the Risk of Bitcoin Futures Market: New Evidence," Annals of Data Science, Springer, vol. 12(2), pages 481-497, April.
    • Handle: RePEc:spr:aodasc:v:12:y:2025:i:2:d:10.1007_s40745-024-00517-4
    DOI: 10.1007/s40745-024-00517-4
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1007/s40745-024-00517-4
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1007/s40745-024-00517-4?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    Bitcoin futures market; Realized volatility; Jump-induced volatility; Bitcoin implied volatility index; Leverage effects; HAR-RV models;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:aodasc:v:12:y:2025:i:2:d:10.1007_s40745-024-00517-4. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.