Does 5-Minute RV Outperform Other Realized Measures in the Cryptocurrency Market?

20 Pages Posted: 10 Jul 2019 Last revised: 1 Apr 2020

See all articles by Takahiro Hattori

Takahiro Hattori

University of Tokyo - Graduate School of Public Policy

Date Written: July 7, 2019

Abstract

After the seminal work of Liu et al. (2015) finds that the realized volatility (RV) using 5-minute intervals performs well, economists tend to use this simple measure in applications. Existing literature in the cryptocurrency already relies on 5-minute RV, but no paper has evaluated whether 5-minute RV performs well compared with other realized measures. Following Liu et al. (2015), we show that the 5-minute RV of Bitcoin performs well compared to other realized measures, meaning that this result justifies the existing literature that already uses this simple measure. This paper also indicates that realized measures with longer intervals such as 120-minute RV could provide inaccurate estimates.

Keywords: Cryptocurrency, Bitcoin, Realized volatility, Volatility modeling, High frequency data

JEL Classification: C22, G58

Suggested Citation

Hattori, Takahiro, Does 5-Minute RV Outperform Other Realized Measures in the Cryptocurrency Market? (July 7, 2019). Available at SSRN: https://ssrn.com/abstract=3416106 or http://dx.doi.org/10.2139/ssrn.3416106

Takahiro Hattori (Contact Author)

University of Tokyo - Graduate School of Public Policy ( email )

Tokyo
Japan

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