Year: 2019
Type: article
Abstract: Recent studies have found that the log-volatility of asset returns exhibits roughness. This study investigates roughness or the anti-persistence of Bitcoin volatility. Using 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 rough log-volatility increments. Furthermore, we find that the generalized Hurst exponent is not constant. This observation indicates that the log-volatility has a multifractal property. Using shuffled time series of the log-volatility increments, we infer that the source of multifractality partly derives from the distributional property.
Source: Finance research letters
Author: Tetsuya Takaishi
Institution: Hiroshima University of Economics
Language: English
Subfield: Economics and Econometrics
Domain: Social Sciences
Open Access status: hybrid
Estimated APC paid: $1,250
OpenAlex ID: W2990522534