*4.5. Forecasting*

To forecast the cryptocurrencies, the methodology used is called a rolling window. The estimation part is from 8 August 2015 to 8 August 2017, i.e. a two-year estimation window. Using the results from this estimation, the point forecast one-day ahead is calculated. The next forecast is done by estimating a day later than before, thus from 8 September 2015 to 8 September 2017 . This procedure continues

until the end of the data is reached (28 February 2019), i.e. 567 days, thus the number of one-day ahead forecasts is 567. As a prior for the SV and GARCH models, the Minnesota prior is used as a start. This approach is standard and can be extended to other priors; for this paper, the standard approach is sufficient enough to investigate the cryptocurrencies. For every one-day forecast, a total of 6000 simulations are drawn and the first 1000 simulations are burned. This burning of the first simulation is due to the fact that the first simulations can be correlated and/or inaccurate. Over time, the simulations are independent of each other and can be used for measures.
