Dual asymmetries in Bitcoin

Chikashi Tsuji

Finance Research Letters, 2025, vol. 82, issue C

Abstract: This study aims to uncover dual asymmetries in Bitcoin by comparing it with the S&P 500. To achieve this goal, we utilized the fully unified GARCH model, which incorporates return-variance asymmetry, skew-GED errors, and structural breaks. Our comparative analysis using weekly data from 2010 to 2024 has revealed the following new findings. First, our fully unified GARCH model was effective in estimating the volatilities of both Bitcoin and the S&P 500. Furthermore, our analysis reveals that the return residuals of Bitcoin exhibit positive skewness, in contrast to the negative skewness observed in the S&P 500, suggesting a remarkable asymmetry in Bitcoin. Additionally, our analysis also discovers a positive relationship between one-week lagged returns and volatilities of Bitcoin, contrasting with the negative relation seen in the S&P 500, suggesting another striking asymmetry in Bitcoin.

Keywords: Asymmetry; Bitcoin; GARCH; Skew-GED error; Structural break; Volatility (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:82:y:2025:i:c:s154461232500710x

DOI: 10.1016/j.frl.2025.107450

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