2019/04/28 by Tetsuya Takaishi · 2 citations
Economics, Econometrics and Finance · #q-fin.ST
paper · pdf · doi:10.1016/j.frl.2019.101379
published as Finance Research Letters 32 (2020) 101379 · 12 pages, 8 figures
arxiv created 2019/04/28 · arxiv updated 2020/04/16
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.