Forecasting volatility of Bitcoin

Formicola, Giovanni (A.A. 2020/2021) Forecasting volatility of Bitcoin. Tesi di Laurea in Empirical finance, Luiss Guido Carli, relatore Paolo Santucci de Magistris, pp. 59. [Master's Degree Thesis]

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Theoretical framework. What is volatility. Estimating volatility. Bitcoin's volatility: preliminary analysis. Volatility of cryptocurrencies. About data. Computing realized variance and BiPower variation. Threshold BiPower variation. Positive and negative returns. Estimators statistics. Jump statistics. Bitcoin's volatility: models and forecasts. Building HAR's estimators. Full-sample fitting. Forecasts. Realized utility.


Sitografia e bibliografia: pp. 56-58.

Thesis Type: Master's Degree Thesis
Institution: Luiss Guido Carli
Degree Program: Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56)
Chair: Empirical finance
Thesis Supervisor: Santucci de Magistris, Paolo
Thesis Co-Supervisor: Proietti, Tommaso
Academic Year: 2020/2021
Session: Autumn
Deposited by: Alessandro Perfetti
Date Deposited: 24 Mar 2022 09:48
Last Modified: 24 Mar 2022 09:48


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