论文标题
加密货币的波动性模型的赛马：比特币现场和期权市场的证据
A Horserace of Volatility Models for Cryptocurrency: Evidence from Bitcoin Spot and Option Markets
论文作者
论文摘要
我们使用比特币斑点价格系列测试了各种波动率模型。我们的模型包括Hist，Ema Arch，Garch和Egarch，模型。我们的样本拟合和样本外造型结果都表明，Garch和Egarch模型的表现要比其他模型好得多。此外，Egarch模型的不对称术语是正面和微不足道的，这表明比特币价格缺乏对过去回报的不对称波动率响应。最后，我们通过利用GARCH波动性预测与期权的隐含波动性之间的波动性扩展来制定期权交易策略。我们表明，使用Delta-Hedging进行简单的波动性交易策略可以产生强大的利润。
We test various volatility models using the Bitcoin spot price series. Our models include HIST, EMA ARCH, GARCH, and EGARCH, models. Both of our in-sample-fit and out-of-sample-forecast results suggest that GARCH and EGARCH models perform much better than other models. Moreover, the EGARCH model's asymmetric term is positive and insignificant, which suggests that Bitcoin prices lack the asymmetric volatility response to past returns. Finally, we formulate an option trading strategy by exploiting the volatility spread between the GARCH volatility forecast and the option's implied volatility. We show that a simple volatility-spread trading strategy with delta-hedging can yield robust profits.
