We apply the GARCH-MIDAS framework to forecast the daily, weekly, and monthly volatility of five highly capitalized … quality, we determine the most important exogenous drivers of volatility in Cryptocurrency markets. We find that the Global … Global Real Economic Activity provides superior volatility predictions for both, bull and bear markets. In addition, the …

The authors examine the relation between price returns and volatility changes in the Bitcoin market using a daily … database denominated in various currencies. The results for the entire period provide no evidence of an asymmetric return-volatility … relation in the Bitcoin market. They test if there is a difference in the return-volatility relation before and after the price …

by jumps in the price and volatility of crude oil. Data used are daily from 14 February 2011, to 31 July 2019. We detect … sovereign risks of oil-exporters are significantly affected by oil volatility jumps, not by oil price jumps. These findings … suggest that the sovereign risks of oil-exporters are affected by abrupt movements in oil implied volatility, which points to …