Modeling and forecasting the realized volatility of bitcoin using realized HAR-GARCH-type models with jumps and inverse leverage effect

• Main Authors: Zahid, Mamoona, Iqbal, Farhat, Raziq, Abdul, Sheikh, Naveed
• Format: Article
• Language: English
• Published: Penerbit Universiti Kebangsaan Malaysia 2022
• Online Access: http://journalarticle.ukm.my/19176/1/25.pdf; http://journalarticle.ukm.my/19176/; https://www.ukm.my/jsm/malay_journals/jilid51bil3_2022/KandunganJilid51Bil3_2022.html

Using the high-frequency data of Bitcoin, this study aims to model the time-varying volatility identified in the residuals of the heterogeneous autoregressive (HAR) model of realized volatility using the symmetric, asymmetric and long-memory generalized autoregressive conditional heteroscedastic (GA...