{"title":"比特币和加密货币波动的外生驱动因素——预测的混合数据抽样方法","authors":"T. Walther, Tony Klein, Elie Bouri","doi":"10.2139/ssrn.3192474","DOIUrl":null,"url":null,"abstract":"We apply the GARCH-MIDAS framework to forecast the daily, weekly, and monthly volatility of four highly capitalized Cryptocurrencies (Bitcoin, Etherium, Litecoin, and Ripple) as well as the Cryptocurrency index CRIX. Based on the prediction quality, we determine the most important exogenous drivers of volatility in Cryptocurrency markets. We find that the Global Real Economic Activity outperforms all other economic and financial drivers under investigation. Only the average forecast combination results in lower loss functions. This indicates that the information content of exogenous factors is time-varying and the model averaging approach diversifies the impact of single drivers.","PeriodicalId":126646,"journal":{"name":"PSN: Exchange Rates & Currency (International) (Topic)","volume":"9 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2018-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"105","resultStr":"{\"title\":\"Exogenous Drivers of Bitcoin and Cryptocurrency Volatility – A Mixed Data Sampling Approach to Forecasting\",\"authors\":\"T. Walther, Tony Klein, Elie Bouri\",\"doi\":\"10.2139/ssrn.3192474\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We apply the GARCH-MIDAS framework to forecast the daily, weekly, and monthly volatility of four highly capitalized Cryptocurrencies (Bitcoin, Etherium, Litecoin, and Ripple) as well as the Cryptocurrency index CRIX. Based on the prediction quality, we determine the most important exogenous drivers of volatility in Cryptocurrency markets. We find that the Global Real Economic Activity outperforms all other economic and financial drivers under investigation. Only the average forecast combination results in lower loss functions. This indicates that the information content of exogenous factors is time-varying and the model averaging approach diversifies the impact of single drivers.\",\"PeriodicalId\":126646,\"journal\":{\"name\":\"PSN: Exchange Rates & Currency (International) (Topic)\",\"volume\":\"9 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2018-06-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"105\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"PSN: Exchange Rates & Currency (International) (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3192474\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"PSN: Exchange Rates & Currency (International) (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3192474","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Exogenous Drivers of Bitcoin and Cryptocurrency Volatility – A Mixed Data Sampling Approach to Forecasting
We apply the GARCH-MIDAS framework to forecast the daily, weekly, and monthly volatility of four highly capitalized Cryptocurrencies (Bitcoin, Etherium, Litecoin, and Ripple) as well as the Cryptocurrency index CRIX. Based on the prediction quality, we determine the most important exogenous drivers of volatility in Cryptocurrency markets. We find that the Global Real Economic Activity outperforms all other economic and financial drivers under investigation. Only the average forecast combination results in lower loss functions. This indicates that the information content of exogenous factors is time-varying and the model averaging approach diversifies the impact of single drivers.
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