**5. Conclusions**

This work investigates whether BTC can be used as a leading indicator for the S&P500 index. We use the methodologies recently introduced by Raftery et al. (2010), which allow the predictor's weight to change dynamically over time. The study is based on two distinct models: the first— M1—includes all the predictors; the second— M2—excludes the crypto-predictors. The benchmark model— M0—is estimated using an ARMA(1,1)-GARCH(1,1).

The forecasting analysis is based on both point and density forecast. Results coming from the point forecast are not very satisfactory: the M0 outperforms both M1 and M2. Density forecast provides a totally different outcome: M1 and M2 strongly outperform M0. Unfortunately, in this case, the DM and the MCS do not give clear evidence about which of the two models is the best. Accordingly, from our results we can conclude that BTC does not show any predictive power over the S&P500 index. In the coming years, cryptocurrencies will surely receive more and more consideration and there is the possibility that our result may be disavowed.

**Supplementary Materials:** The supplementary materials are available online at http://www.mdpi.com/1911- 8074/12/2/93/s1.

**Author Contributions:** Conceptualization, C.M., L.S. and S.G.; methodology, S.G.; software, C.M., L.S. and S.G.; validation, S.G.; formal analysis, C.M., L.S. and S.G.; investigation, C.M. and L.S.; data curation, C.M. and L.S.; writing—original draft preparation, C.M. and L.S.; writing—review and editing, S.G.; supervision, S.G.; project administration, S.G.

**Funding:** This research received no external funding.

**Acknowledgments:** We thank Francesco Ravazzolo for helpful comments.

**Conflicts of Interest:** The authors declare no conflict of interest.
