Multifractality and sample size influence on Bitcoin volatility patterns

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2024-12-30 DOI:10.1016/j.frl.2024.106683

Tetsuya Takaishi

引用次数: 0

Abstract

The finite sample effect on the Hurst exponent (HE) of realized volatility time series is examined using Bitcoin data. This study finds that the HE decreases as the sampling period Δ increases and a simple finite sample ansatz closely fits the HE data. We obtain HE values of Δ→0, which is smaller than 1/2, indicating rough volatility. The relative error is found to be 1% for the widely used five-minute realized volatility. Performing a multifractal analysis, we find that multifractality in the realized volatility time series is smaller than that of the price-return time series.

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

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