Exogenous Drivers of Cryptocurrency Volatility - A Mixed Data Sampling Approach to Forecasting
Type
working paper
Date Issued
2018-06
Author(s)
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.
Language
English
HSG Classification
contribution to scientific community
Division(s)
Eprints ID
254659