Introducing the Cryptocurrency VIX: CVIX✰

Yosef Bonaparte

Finance Research Letters, 2023, vol. 54, issue C

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 (search for similar items in EconPapers)
JEL-codes: G10 G12 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323000867

DOI: 10.1016/j.frl.2023.103712

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