Volatility forecasting in the Bitcoin market: A new proposed measure based on the VS-ACARR approach

This paper proposes a new volatility-spillover-asymmetric conditional autoregressive range (VS-ACARR) approach that takes into account the intraday information, the volatility spillover from crude oil as well as the volatility asymmetry (leverage effect) to model/forecast Bitcoin volatility (price range). An empirical application to Bitcoin and crude oil (WTI) price ranges shows the existence of strong volatility spillover from crude oil to the Bitcoin market and a weak leverage effect in the Bitcoin market. The VS-ACARR model yields higher forecasting accuracy than the GARCH, CARR, and VS-CARR models regarding out-of-sample forecast performance, suggesting that accounting for the volatility spillover and asymmetry can significantly improve the forecasting accuracy of Bitcoin volatility. The superior forecast performance of the VS-ACARR model is robust to alternative out-of-sample forecast windows. Our findings highlight the importance of accommodating intraday information, spillover from crude oil, and volatility asymmetry in forecasting Bitcoin volatility

Forecasting the Volatility of European Union Allowance Futures with Climate Policy Uncertainty Using the EGARCH-MIDAS Model

We propose the EGARCH-MIDAS-CPU model, which incorporates the leverage effect and climate policy uncertainty (CPU) to model and forecast European Union allowance futures’ (EUAF) volatility. An empirical analysis based on the daily data of the EUAF price index and the monthly data of the CPU index using the EGARCH-MIDAS-CPU model shows that the EUAF’s volatility exhibits a leverage effect, and the CPU has a significantly negative impact on the EUAF’s volatility. Furthermore, out-of-sample analysis based on three loss functions and the Model Confidence Set (MCS) test suggests that EGARCH-MIDAS-CPU model yields more accurate out-of-sample volatility forecasting results than various competing models. There is room for further application of the model, such as this model could be applied to price carbon futures, so as to improve the liquidity of the carbon market and achieve carbon peak and carbon neutrality as soon as possible

CREBH Couples Circadian Clock With Hepatic Lipid Metabolism

The circadian clock orchestrates diverse physiological processes critical for health and disease. CREB, hepatocyte specific (CREBH) is a liver-enriched, endoplasmic reticulum (ER)–tethered transcription factor known to regulate the hepatic acute phase response and energy homeostasis under stress conditions. We demonstrate that CREBH is regulated by the circadian clock and functions as a circadian regulator of hepatic lipid metabolism. Proteolytic activation of CREBH in the liver exhibits typical circadian rhythmicity controlled by the core clock oscillator BMAL1 and AKT/glycogen synthase kinase 3β (GSK3β) signaling pathway. GSK3β-mediated phosphorylation of CREBH modulates the association between CREBH and the coat protein complex II transport vesicle and thus controls the ER-to-Golgi transport and subsequent proteolytic cleavage of CREBH in a circadian manner. Functionally, CREBH regulates circadian expression of the key genes involved in triglyceride (TG) and fatty acid (FA) metabolism and is required to maintain circadian amplitudes of blood TG and FA in mice. During the circadian cycle, CREBH rhythmically regulates and interacts with the hepatic nuclear receptors peroxisome proliferator–activated receptor α and liver X receptor α as well as with the circadian oscillation activator DBP and the repressor E4BP4 to modulate CREBH transcriptional activities. In conclusion, these studies reveal that CREBH functions as a circadian-regulated liver transcriptional regulator that integrates energy metabolism with circadian rhythm