Bitcoin volatility predictability–The role of jumps and regimes

Lihua Qian,Jiqian Wang,Feng Ma,Ziyang Li

Finance Research Letters（2022）

引用 6|浏览2

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摘要

•This study sheds light on the forecasting ability of jumps and two-stage regimes.•Incorporates continuous-time jump and two-stage regimes can successfully predict Bitcoin volatility.•Interestingly, the superior forecasting ability is reflected in highly volatile periods.

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关键词

Bitcoin volatility,Markov-regime switching,Jump,Mixed data sampling model

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