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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...

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Main Author: Ruijie Chen
Format: Artigo
Language:Inglês
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
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