Multifractality and sample size influence on Bitcoin volatility patterns

Tetsuya Takaishi

Finance Research Letters, 2025, vol. 74, issue C

Abstract: The finite sample effect on the Hurst exponent (HE) of realized volatility time series is examined using Bitcoin data. This study finds that the HE decreases as the sampling period Δ increases and a simple finite sample ansatz closely fits the HE data. We obtain HE values of Δ→0, which is smaller than 1/2, indicating rough volatility. The relative error is found to be 1% for the widely used five-minute realized volatility. Performing a multifractal analysis, we find that multifractality in the realized volatility time series is smaller than that of the price-return time series.

Keywords: Rough volatility; Hurst exponent; Finite sample effect; Multifractality (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:74:y:2025:i:c:s1544612324017124

DOI: 10.1016/j.frl.2024.106683

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