比特币的过度波动:极值波动估计

IF 1.8 Q3 MANAGEMENT
P. Kayal, G. Balasubramanian
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引用次数: 11

摘要

本文使用无偏极值波动估计器研究比特币价格的过度波动。我们使用自举法、多视界法、子采样法和滚动窗法来捕捉超额波动的时变性质。我们观察到比特币的价格变化几乎是有效的。尽管比特币价格表现出高波动性,并在几个时期内显示出过度波动的迹象,但随着时间的推移,它正在下降。在控制了异常值之后,我们还注意到比特币市场显示出日益成熟的迹象。总体而言,比特币价格显示出效率提高、波动性降低的迹象。我们的研究结果对投资者做出投资决策和监管机构做出政策选择具有启示意义。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Excess Volatility in Bitcoin: Extreme Value Volatility Estimation
This article investigates the excess volatility in Bitcoin prices using an unbiased extreme value volatility estimator. We capture the time-varying nature of the excess volatility using bootstrap, multi-horizon, sub-sampling and rolling-window approaches. We observe that Bitcoin price changes are almost efficient. Although Bitcoin prices exhibit high volatility and show signs of excess volatility for a few periods, it is decreasing over time. After controlling for the outliers, we also notice that the Bitcoin market shows signs of increasing maturity. Overall, Bitcoin prices show a sign of increasing efficiency with decreasing volatility. Our findings have implications for investors making investment decisions and for regulators making policy choices.
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来源期刊
CiteScore
3.90
自引率
31.20%
发文量
25
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