A hybrid model for intraday volatility prediction in Bitcoin markets

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance Pub Date : 2025-04-05 DOI:10.1016/j.najef.2025.102426

Prakash Raj, Koushik Bera, N. Selvaraju

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引用次数: 0

Abstract

Volatility modeling in cryptocurrencies poses unprecedented challenges due to extreme price fluctuation, 24/7 trading cycles, and decentralized and speculative environments. This article presents a novel hybrid BEMD-REGARCH model by integrating the bivariate empirical mode decomposition (BEMD) with the realized exponential generalized autoregressive conditional heteroscedasticity (REGARCH) model to estimate the volatility of cryptocurrencies. The highlights include the use of intraday hourly returns and realized variance, and the model forecasts intraday 1-

h o u r

-ahead volatility. Testing the hybrid model on various datasets ensures robustness, and the model yields superior volatility forecasting gains over the traditional REGARCH model on various performance metrics. In addition, BEMD trumps EMD by scoring lower forecasting errors than the EMD-GARCH model. In summary, applying BEMD to the REGARCH model enhances its forecasting performance.

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比特币市场日内波动预测的混合模型

由于极端的价格波动、24/7的交易周期以及去中心化和投机环境，加密货币的波动性建模带来了前所未有的挑战。本文通过将二元经验模态分解（BEMD）与已实现的指数广义自回归条件异方差（REGARCH）模型相结合，提出了一种新的BEMD-REGARCH混合模型来估计加密货币的波动率。重点包括日内每小时回报和实现方差的使用，以及模型预测日内1小时前的波动率。在各种数据集上测试混合模型确保了鲁棒性，并且在各种性能指标上，该模型比传统的REGARCH模型产生了更好的波动率预测收益。此外，BEMD优于EMD，因为它比EMD- garch模型的预测误差更低。综上所述，将BEMD应用于REGARCH模型可以提高模型的预测性能。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

North American Journal of Economics and Finance Multiple-

CiteScore

7.30

自引率

8.30%

发文量

168

期刊介绍： The focus of the North-American Journal of Economics and Finance is on the economics of integration of goods, services, financial markets, at both regional and global levels with the role of economic policy in that process playing an important role. Both theoretical and empirical papers are welcome. Empirical and policy-related papers that rely on data and the experiences of countries outside North America are also welcome. Papers should offer concrete lessons about the ongoing process of globalization, or policy implications about how governments, domestic or international institutions, can improve the coordination of their activities. Empirical analysis should be capable of replication. Authors of accepted papers will be encouraged to supply data and computer programs.