Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/271218 
Year of Publication: 
2018
Series/Report no.: 
QMS Research Paper No. 2018/02
Publisher: 
Queen's University Belfast, Queen's Management School, Belfast
Abstract: 
We apply the GARCH-MIDAS framework to forecast the daily, weekly, and monthly volatility of five highly capitalized Cryptocurrencies (Bitcoin, Etherium, Litecoin, Ripple, and Stellar) 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. We also show that the Global Real Economic Activity provides superior volatility predictions for both, bull and bear markets. In addition, the average forecast combination results in low 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.
Subjects: 
Bitcoin
Cryptocurrencies
GARCH
Mixed Data Sampling
Volatility
JEL: 
C10
C58
G11
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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