Rough volatility of Bitcoin

By Tetsuya Takaishi. Finance Research Letters, 2019

51 citations recorded by the source corpus.

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.

Subfields: Economics and Econometrics, Finance, Information Systems

View Paper: https://www.semanticscholar.org/paper/dd4ce1bf84517b517bf6da8d36874292a5d98b9b