Rough volatility of Bitcoin

Tetsuya Takaishi

Finance Research Letters, 2020, vol. 32, issue C

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 (search for similar items in EconPapers)
JEL-codes: G10 G14 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:32:y:2020:i:c:s154461231930337x

DOI: 10.1016/j.frl.2019.101379

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