Bayesian stochastic volatility predictability of cryptocurrencies with the algorithm of Metropolis Hasting

Identifying the factors driving the volatility
of asset classes and examine
their effect on financial markets is particularly
essential for investors, portfolio
managers, and regulators who
are concerned with the asset pricing
and valuation, risk management, and
regulatory policies. Previous studies
examined how and whether financial
and macro-economic factors affect the
asset prices and enable the financial
analysts to forecast the volatility of equities,
fixed-income, commodities and
foreign exchange (Paye, 2012; Christiansen
et al., 2012). In recent years,
the emergence of cryptocurrency, and
its effect on the financial system, transforming
business and financial markets
at an unprecedented rate, has become
an important research topic (Corbet et
al., 2018, Klein et al., 2018).