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Bitcoin Return Volatility Forecasting: A Comparative Study of GARCH Model and Machine Learning Model

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  • Shen, Ze
  • Wan, Qing
  • Leatham, David J.

Abstract

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Suggested Citation

  • Shen, Ze & Wan, Qing & Leatham, David J., 2019. "Bitcoin Return Volatility Forecasting: A Comparative Study of GARCH Model and Machine Learning Model," 2019 Annual Meeting, July 21-23, Atlanta, Georgia 290696, Agricultural and Applied Economics Association.
    • Handle: RePEc:ags:aaea19:290696
    DOI: 10.22004/ag.econ.290696
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    File URL: https://ageconsearch.umn.edu/record/290696/files/Abstracts_19_05_14_12_41_38_05__165_91_12_79_0.pdf
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    Cited by:

    1. Zi Ye & Yinxu Wu & Hui Chen & Yi Pan & Qingshan Jiang, 2022. "A Stacking Ensemble Deep Learning Model for Bitcoin Price Prediction Using Twitter Comments on Bitcoin," Mathematics, MDPI, vol. 10(8), pages 1-21, April.

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    Agribusiness;

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