Replication Materials for "Bitcoin Volatility Modeling with Realized Measures and Jump Dynamics"

Description

REPLICATION_MATERIALS_py.zip contains the source code, synthetic data, a requirements.txt file, and a Readme.pdf file with detailed instructions for executing the code associated with the paper Bitcoin Volatility Modeling with Realized Measures and Jump Dynamics. The source code is provided in .py format, the requirements.txt file specifies the required Python dependencies, and the Readme.pdf file describes the execution procedure.

Steps to reproduce

Please refer to the accompanying Readme.pdf for detailed instructions. Once the required dependencies are installed, executing the master script (main.py) produces the parameter estimates as well as Figures 1, 2, 3, 4, and 5 in a single run.

Institutions

• Indian Institute of Technology Guwahati

  Assam, Guwahati

Categories

Licence