Excess Volatility in Bitcoin: Extreme Value Volatility Estimation

Parthajit Kayal and G. Balasubramanian

IIM Kozhikode Society & Management Review, 2021, vol. 10, issue 2, 222-231

Abstract: This article investigates the excess volatility in Bitcoin prices using an unbiased extreme value volatility estimator. We capture the time-varying nature of the excess volatility using bootstrap, multi-horizon, sub-sampling and rolling-window approaches. We observe that Bitcoin price changes are almost efficient. Although Bitcoin prices exhibit high volatility and show signs of excess volatility for a few periods, it is decreasing over time. After controlling for the outliers, we also notice that the Bitcoin market shows signs of increasing maturity. Overall, Bitcoin prices show a sign of increasing efficiency with decreasing volatility. Our findings have implications for investors making investment decisions and for regulators making policy choices.

Keywords: Bitcoin; excess volatility; extreme value estimator; market efficiency (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
https://journals.sagepub.com/doi/10.1177/2277975220987686 (text/html)

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:sae:iimkoz:v:10:y:2021:i:2:p:222-231

DOI: 10.1177/2277975220987686

Access Statistics for this article

More articles in IIM Kozhikode Society & Management Review
Bibliographic data for series maintained by SAGE Publications ().