Multivariate Forecasting of Bitcoin Volatility with Gradient Boosting: Deterministic, Probabilistic, and Feature Importance Perspectives

Grzegorz Dudek, Mateusz Kasprzyk, Paweł Pełka

This study investigates the application of the Light Gradient Boosting Machine (LGBM) model for both deterministic and probabilistic forecasting of Bitcoin realized volatility. Uti…