Ricerc@Sapienza

Recently, cryptocurrencies have attracted a growing interest from investors, practitioners and researchers. Nevertheless, few studies have focused on the predictability of them. In this paper we propose a new and comprehensive study about cryptocurrency market, eval- uating the forecasting performance for three of the most important cryptocurrencies (Bit- coin, Ethereum and Litecoin) in terms of market capitalization. At this aim, we consider non-Gaussian GARCH volatility models, which form a class of stochastic recursive systems commonly adopted for financial predictions. Results show that the best specification and forecasting accuracy are achieved under the Skewed Generalized Error Distribution when Bitcoin/USD and Litecoin/USD exchange rates are considered, while the best performances are obtained for skewed Distribution in the case of Ethereum/USD exchange rate. The obtain findings state the effectiveness –in terms of prediction performance –of relaxing the normality assumption and considering skewed distributions.