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In this chapter, we examine the realized volatility of highly volatile cryptocurrencies by employing the threshold realized variance method to distinguish the jump component from the continuous process. Despite the fact that the jump process does not enhance explanatory power, we still observe that jumps convey valuable information. Specifically, we find that the one-day lagged threshold jump component has a significant positive impact on future realized volatility, indicating a likelihood of increased volatility in the cryptocurrency market following jumps occurring one day before. However, the unthresholded jump component exhibits a significant negative correlation with future realized volatility.

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Realized Cryptocurrency Volatility Forecasting with Jumps: An Empirical Study

  • 章节

  • 发表日期：

    2026年

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  • Meng-Jou Lu,
  • Weiyu Kuo,
  • Junjie Hu,
  • Wolfgang Karl Härdle

摘要

In this chapter, we examine the realized volatility of highly volatile cryptocurrencies by employing the threshold realized variance method to distinguish the jump component from the continuous process. Despite the fact that the jump process does not enhance explanatory power, we still observe that jumps convey valuable information. Specifically, we find that the one-day lagged threshold jump component has a significant positive impact on future realized volatility, indicating a likelihood of increased volatility in the cryptocurrency market following jumps occurring one day before. However, the unthresholded jump component exhibits a significant negative correlation with future realized volatility.