Introducing the Cryptocurrency VIX: CVIX

【Author】 Bonaparte, Yosef

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】We present a theoretical and empirical methodology reflects the Cryptocurrency version of VIX capturing the future 30-day forward Crypto risk. Our framework is built on the asymptotic distribution theory that utilizes the idiosyncratic and systematic Crypto risk and is not based on the option implied volatility model, that developed by the CBOE for the S&P Volatility Index VIX. For back testing, our CVIX projected with accuracy of over 89% the 30 days forward Crypto realized volatility. Our framework is superior to the option based VIX due to the fact that the option market does not represents all the stock market.

【Keywords】Crypto currency; Bitcoin; Asymptotic theory; Cryptocurrency VIX; CVIX

【发表时间】2023 JUN

【收录时间】2023-06-05

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-数字货币