Rough volatility of Bitcoin

【Author】 Takaishi, Tetsuya

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】Recent studies have found that the log-volatility of asset returns exhibits roughness. This study investigates roughness or the anti-persistence of Bitcoin volatility. Using 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 rough log-volatility increments. Furthermore, we find that the generalized Hurst exponent is not constant. This observation indicates that the log-volatility has a multifractal property. Using shuffled time series of the log-volatility increments, we infer that the source of multifractality partly derives from the distributional property.

【Keywords】Rough volatility; Bitcoin; Hurst exponent; Multifractality

【发表时间】2020 JAN

【收录时间】2022-01-02

【文献类型】

【主题类别】

--