Forecasting Ethereum’s volatility: an expansive approach using HAR models and structural breaks

Forecasting Ethereum’s volatility: an expansive approach using HAR models and structural breaks

AbstractCryptocurrencies have become a popular investment option and the Ethereum has become a mainstream cryptocurrency because of the additional functionality that can be accomplished with the backing of the powerful Ethereum network compared to Bitcoin. The high volatility of Ethereum offers both...

Full description

Bibliographic Details
Main Author: Ruijie Chen
Format: Article
Language:English
Published: Taylor & Francis Group 2024-12-01
Series:Cogent Economics & Finance
Subjects:
HAR model
VIX
volatility forecasting
structural breaks
cryptocurrency
David McMillan, University of Stirling, Stirling, UK
Online Access:https://www.tandfonline.com/doi/10.1080/23322039.2023.2300925

Similar Items

Similar Items