Rough volatility of Bitcoin

Tetsuya Takaishi

Papers from arXiv.org

Abstract: Recent studies have found that the log-volatility of asset returns exhibit roughness. This study investigates roughness or the anti-persistence of Bitcoin volatility. Using the multifractal detrended fluctuation analysis, we obtain the generalized Hurst exponent of the log-volatility increments and find that the generalized Hurst exponent is less than $1/2$, which indicates log-volatility increments that are rough. Furthermore, we find that the generalized Hurst exponent is not constant. This observation indicates that the log-volatility has multifractal property. Using shuffled time series of the log-volatility increments, we infer that the source of multifractality partly comes from the distributional property.

Date: 2019-04
New Economics Papers: this item is included in nep-ets, nep-fmk and nep-pay
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Published in Finance Research Letters 32 (2020) 101379

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1904.12346

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