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

•A new volatility-spillover-asymmetric-conditional-autoregressive-range (VS-ACARR) model for forecasting Bitcoin volatility.•A range-based measure that is built on traditional CARR and incorporates volatility spillover from the oil market.•Existence of strong volatility spillovers and weak leverage effect.•Proposed model outperforms GARCH, CARR and VS-CARR models for out-of-sample forecasting of Bitcoin volatility.•Robust to alternative forecasting windows and various evaluation diagnostics.