Alina Khay

Alina Khay

Share this post

Alina Khay
Alina Khay
Decoding Cryptocurrency Volatility Insights from a Quantitative Analysis of Bitcoin and Ethereum

Decoding Cryptocurrency Volatility Insights from a Quantitative Analysis of Bitcoin and Ethereum

In this article, we explore the multifaceted nature of volatility in leading cryptocurrencies, with a spotlight on Bitcoin and Ethereum.

Alina Khay's avatar
Alina Khay
Oct 30, 2024
∙ Paid
1

Share this post

Alina Khay
Alina Khay
Decoding Cryptocurrency Volatility Insights from a Quantitative Analysis of Bitcoin and Ethereum
Share

In this article, we explore the multifaceted nature of volatility in leading cryptocurrencies, with a spotlight on Bitcoin and Ethereum. Our analysis covers essential aspects: the standard deviation and variance of returns, autocorrelation in both absolute and squared returns, return beta relative to Bitcoin, and the leverage effect linking returns with volatility. Additionally, we investigate calendar effects, like "hour of the day" and "day of the week" patterns, which unveil unique temporal trends distinct from those observed in traditional asset classes.

Our findings confirm that many established patterns, or stylized facts, from conventional financial markets—such as equities and foreign exchange—also apply to cryptocurrencies. Volatility clustering and the leverage effect, where negative returns often lead to heightened volatility, both appear within crypto returns. Yet, cryptocurrencies display distinct characteristics, such as persistent "hour of the day" and "day of the week" …

This post is for paid subscribers

Already a paid subscriber? Sign in
© 2025 Alina
Privacy ∙ Terms ∙ Collection notice
Start writingGet the app
Substack is the home for great culture

Share