This paper analyzes high-frequency estimates of good and bad realized volatility of Bitcoin. We show that volatility … asymmetry depends on the volatility regime and the forecast horizon. For one-day ahead forecasts, good volatility commands a … stronger impact on future volatility than bad volatility on average and in extreme volatility regimes but not across all …

Bitcoin returns is also found to be time-varying. We also study the behaviour of the realized volatility of Bitcoin. We …) leverage effect, and iii) no impact from lagged jumps. A forecast study shows that: i) Bitcoin volatility has become more easy …This paper studies the behaviour of Bitcoin returns at different sample frequencies. We consider high frequency returns …