English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Global: Zendy Plus annual

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Global: Zendy Plus monthly

Global: Zendy Tools annual

Global: Zendy Tools monthly

Global: Zendy Free Plan

We test various volatility models using the Bitcoin spot price series. Ourmodels include HIST, EMA ARCH, GARCH, and EGARCH, models. Both of ourin-sample-fit and out-of-sample-forecast results suggest that GARCH and EGARCHmodels perform much better than other models. Moreover, the EGARCH model'sasymmetric term is positive and insignificant, which suggests that Bitcoinprices lack the asymmetric volatility response to past returns. Finally, weformulate an option trading strategy by exploiting the volatility spreadbetween the GARCH volatility forecast and the option's implied volatility. Weshow that a simple volatility-spread trading strategy with delta-hedging canyield robust profits.

A Horserace of Volatility Models for Cryptocurrency: Evidence from Bitcoin Spot and Option Markets