I am currently attempting to model and forecast volatility of bitcoin but have not been able to find a GARCH model that fits the data appropriately. I've used tick data sampled at 1 hour intervals ...
Suppose that I want to calculate what the margin requirements should be for a Bitcoin futures contract, where the contract is the USD/BTC exchange rate (settled in Bitcoins). I've looked at the SPAN ...
Is there some sort of metric or formula for bull/long strength in a market based on % of shorts/longs on margin, and perhaps even the size of that leverage? I ask because I participate in BTC (which ...