Price volatilities of bitcoin futures

【Author】 Guo, Zi-Yi

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】In this study, we first investigate the volatility term structure of the Bitcoin futures prices and observe that the price volatilities of Bitcoin futures contracts decrease as the delivery date nears, which is opposite to the Samuelson effect frequently observed in the commodity market. Then, we modify the stochastic multifactor model in Schwartz and Smith (2000) and fit it to the Bitcoin futures prices data. The results show that the standard stochastic multifactor model performs well in explaining the fluctuations of Bitcoin futures prices and generates an upward volatility term structure of the Bitcoin futures contracts prices. Nevertheless, some of the parameter's estimations exhibit non-negligible differences compared with those based on other commodity futures prices data in the existing literature, which indicates that the Bitcoin futures market might be different from the standard commodity futures market.

【Keywords】Bitcoin; Samuelson effect; Stochastic multifactor model

【发表时间】2021 NOV

【收录时间】2022-01-01

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