Time-varying properties of asymmetric volatility and multifractality in Bitcoin

@article{Takaishi2021TimevaryingPO,
  title={Time-varying properties of asymmetric volatility and multifractality in Bitcoin},
  author={T. Takaishi},
  journal={PLoS ONE},
  year={2021},
  volume={16}
}
This study investigates the volatility of daily Bitcoin returns and multifractal properties of the Bitcoin market by employing the rolling window method and examines relationships between the volatility asymmetry and market efficiency. Whilst we find an inverted asymmetry in the volatility of Bitcoin, its magnitude changes over time, and recently, it has become small. This asymmetric pattern of volatility also exists in higher frequency returns. Other measurements, such as kurtosis, skewness… Expand

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