  Cryptocurrency, the most controversial and simultaneously the most
interesting asset, has attracted many investors and speculators in recent
years. The visibly significant market capitalization of cryptos also motivates
modern financial instruments such as futures and options. Those will depend on
the dynamics, volatility, or even the jumps of cryptos. We provide a
comprehensive investigation of the risk dynamics of the Bitcoin Market from a
realized volatility perspective. The Bitcoin market is extremely risky in the
sense of volatility, entangled jumps, and extensive consecutive jumps, which
reflect the major incidents worldwide. Empirical study shows that the lagged
realized variance increases the future realized variance, while the jumps,
especially positive ones, significantly reduce future realized variance. The
out-of-sample forecasting model reveals that, in terms of forecasting accuracy
and utility gain, investors interested in the long-term realized variance
benefit from explicitly modelling the jumps and signed estimators, which is
unnecessary for the short-term realized variance forecast.
