2 papers
econ.EM2024
Return and Volatility Forecasting Using On-Chain Flows in Cryptocurrency Markets
Yeguang Chi, Qionghua, Chu +1
We empirically examine the intraday return- and volatility-forecasting power of on-chain flow data for Bitcoin(BTC), Ethereum(ETH), and Tether(USDT). We find ETH net inflows to str…
q-fin.ST2020
A Horserace of Volatility Models for Cryptocurrency: Evidence from Bitcoin Spot and Option Markets
Yeguang Chi, Wenyan Hao
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-for…