以不同频率采样的外部变量的联合建模能否增强对比特币长期波动性的预测？

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2024-12-20 DOI:10.1016/j.frl.2024.106679

Serkan Aras , Mehmet Ozan Özdemir , Cihan Çılgın

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引用次数: 0

摘要

虽然每月和每周指数通常用于长期比特币波动建模，但本研究考察了每日指数在预测中的作用。此外，我们评估了每日指数与更频繁使用的月度和每周指数相结合时的增量贡献。研究结果显示，每日经济政策不确定性（EPU）和地缘政治风险（GPR）指数在样本内解释力和样本外预测精度方面都优于月度指数。此外，已经观察到在不同频率下同时使用指数可以显著提高预测性能。因此，本研究表明，混合频率指数为比特币波动建模提供了补充见解。

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Can joint modelling of external variables sampled at different frequencies enhance long-term Bitcoin volatility forecasts?

While monthly and weekly indices are commonly used for long-term Bitcoin volatility modelling, this study examines the role of daily indices in forecasting. Additionally, we evaluate the incremental contribution of daily indices when combined with the more frequently employed monthly and weekly indices. The findings reveal that daily Economic Policy Uncertainty (EPU) and Geopolitical Risk (GPR) indices outperform their monthly counterparts in both in-sample explanatory power and out-of-sample forecast accuracy. Moreover, it has been observed that using indices at different frequencies together significantly improves predictive performance. This study, therefore, demonstrates that mixed-frequency indices offer complementary insights for modelling Bitcoin volatility.

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance