Forecasting Bitcoin volatility: The role of leverage effect and uncertainty

In this study, we first investigate the impacts of leverage effect and economic policy uncertainty (EPU) on one-step-ahead Bitcoin volatility using high-frequency data. We find that the leverage effect can impacts on future volatility significantly. However, the jumps and EPU seem not to impact future volatility during in-sample period. The MCS test results show that the leverage effect is more powerful than jump components in forecasting Bitcoin volatility. Moreover, using the common information of the leverage effect and EPU can improve the models' predictive ability. Finally, our robust tests are supported to these conclusions. (C) 2019 Elsevier B.V. All rights reserved.