Cryptocurrency volatility forecasting: A Markov regime‐switching MIDAS approach
Why this work is in the frame
A frame that forgets how it found something cannot be audited. These are the routes that admitted this work.
Bibliographic record
Abstract
Abstract The primary purpose of this paper is to investigate whether a novel Markov regime‐switching mixed‐data sampling (MRS‐MIADS) model we design can improve the prediction accuracy of the realized variance (RV) of Bitcoin. Moreover, to verify whether the importance of jumps for RV forecasting changes over time, we extend the standard MIDAS model to characterize two volatility regimes and introduce a jump‐driven time‐varying transition probability between the two regimes. Our results suggest that the proposed novel MRS‐MIDAS model exhibits statistically significant improvement for forecasting the RV of Bitcoin. In addition, we find that jump occurrences significantly increase the persistence of the high‐volatility regime and switch between high‐ and low‐volatility regimes. A wide range of checks confirm the robustness of our results. Finally, the proposed model shows significant improvement for 2‐week and 1‐month horizon forecasts.
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Full frame distilled prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.
Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.001 | 0.001 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.000 | 0.001 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.000 | 0.001 |
| Open science | 0.001 | 0.000 |
| Research integrity | 0.000 | 0.001 |
| Insufficient payload (model declined to judge) | 0.000 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it