Bitcoin, Litecoin, and the Euro: an annualized volatility analysis

Cynthia Miglietti, Zdenka Kubosova and Nicole Skulanova

Studies in Economics and Finance, 2019, vol. 37, issue 2, 229-242

Abstract: Purpose - This paper aims to empirically investigate the volatility of Bitcoin, Litecoin and the Euro. Design/methodology/approach - The authors use quantitative methodologies to assess the annualized volatility of two cryptocurrencies and one international fiat currency. The exchange rate of the currencies is monitored on a daily basis using 1,460 observations from January 1, 2014 to December 31, 2017. The models used include the augmented Dickey–Fuller test, Akaike Information Criteria, autocorrelation function and exchange rate changes determining which currency is the most volatile. Findings - The findings indicate, based on the statistical measures used, including the standard deviation of selected currencies and annualized volatility, that Litecoin is more volatile than Bitcoin and the Euro and that Bitcoin is more volatile than the Euro. This furthers previous research on cryptocurrency volatility. Originality/value - The paper provides compelling evidence about the volatility of Litecoin and Bitcoin. The volatility of cryptocurrencies is furthered with data that are more current. The findings are important for investors, financial markets and central banks.

Keywords: Euro; Volatility; Bitcoin; Cryptocurrency; Currency valuation; Litecoin (search for similar items in EconPapers)
Date: 2019
References: Add references at CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (text/html)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (application/pdf)
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eme:sefpps:sef-02-2019-0050

DOI: 10.1108/SEF-02-2019-0050

Access Statistics for this article

Studies in Economics and Finance is currently edited by Prof Niklas Wagner

More articles in Studies in Economics and Finance from Emerald Group Publishing Limited
Bibliographic data for series maintained by Emerald Support ().