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Rough volatility of Bitcoin

Tetsuya Takaishi

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Abstract: Recent studies have found that the log-volatility of asset returns exhibit roughness. This study investigates roughness or the anti-persistence of Bitcoin volatility. Using the multifractal detrended fluctuation analysis, we obtain the generalized Hurst exponent of the log-volatility increments and find that the generalized Hurst exponent is less than $1/2$, which indicates log-volatility increments that are rough. Furthermore, we find that the generalized Hurst exponent is not constant. This observation indicates that the log-volatility has multifractal property. Using shuffled time series of the log-volatility increments, we infer that the source of multifractality partly comes from the distributional property.

New Economics Papers: this item is included in nep-ets, nep-fmk and nep-pay
Date: 2019-04
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