Rough volatility of Bitcoin
Rough volatility of Bitcoin
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DOI：
10.1016/j.frl.2019.101379
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发表时间：
2019-04
影响因子：
10.4
通讯作者：
T. Takaishi
中科院分区：
文献类型：
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作者：
T. Takaishi
最近的研究发现，资产收益率的对数波动率表现出粗糙性。这项研究调查了比特币波动的粗糙度或反持续性。利用多重分形去趋势波动分析，得到了对数波动增量的广义赫斯特指数，发现广义赫斯特指数小于1/2，表明对数波动增量较粗糙。此外，我们发现广义Hurst指数不是常数。这表明对数波动率具有多重分形性质。利用对数波动率增量的混洗时间序列，我们推断多重分形的来源部分来自于分布特性。
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.