Forecasting bitcoin volatility: does GARCH provide extra information once VIX is included as a regressor?
Selivanov, Deniel (A.A. 2019/2020) Forecasting bitcoin volatility: does GARCH provide extra information once VIX is included as a regressor? Tesi di Laurea in Empirical finance, Luiss Guido Carli, relatore Paolo Santucci de Magistris, pp. 52. [Master's Degree Thesis]
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Abstract/Index
Overview of bitcoin and blockchain. Blockchain. Transactions. Incentive. Privacy. Bitcoin as inflationary hedge. Volatility prediction with GARCH. Literature overview. Applying GARCH. VIX estimation. Literature overview. VIX index calculation.
References
Bibliografia e sitografia: pp. 51-52.
| 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: | 2019/2020 |
| Session: | Extraordinary |
| Additional Information: | Sessione anticipata 2020/2021. |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 07 Jul 2021 07:06 |
| Last Modified: | 07 Jul 2021 07:06 |
| URI: | https://tesi.luiss.it/id/eprint/29994 |
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