题目：Modeling and Forecasting Realized Volatility of Cryptocurrency

主讲人：复旦大学经济学院 王晓虎副教授

主持人：统计学院 常晋源教授

时间：2024年6月7日（周五）下午14:00-15:00

地点：西南财经大学光华校区光华楼10楼1003

报告摘要：

This paper introduces a new model for log RV of cryptocurrency. The specification is a discretized fractional Ornstein-Uhlenbeck (fOU) process with a time-varying persistency that depends on realized quadraticity, as in the HARQ model of Bollerslev, Patton, and Quaedvlieg (2016). Under the in-fill asymptotic scheme, the process has a local-to-stochastic-unit-root specification, with the error term being a fractional Gaussian noise so that fractional integration is possible. Methods are proposed to estimate parameters in the model. The asymptotic theory is developed for the estimators. Empirical estimates from RV of 110 cryptocurrencies suggest strong evidence of time-varying persistency and roughness in the fractional Brownian motion. When using the proposed model to forecast the RV of 110 cryptocurrencies, we find evidence of superior forecasting performance of the proposed model relative to other popular models in the literature for most of the RV series.

主讲人简介：

王晓虎，复旦大学经济学院，副教授，博士生导师。主要研究方向为计量经济学，相关成果发表在Journal of Econometrics, Econometrics Journal, Journal of International Money and Finance等学术期刊上。取得国家自然科学基金优秀青年基金（海外），上海市浦江学者，上海市曙光学者等项目支持。