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

12 Pages Posted: 10 Jul 2019

Date Written: July 7, 2019

Abstract

Since the seminal work of Liu et al. (2015), many researchers have computed the realized volatility (RV) using 5-minute intervals. However, cryptocurrency has sharply different features compared with other assets, such as the autocorrelation of the intraday return in Bitcoin. Our paper employs realized kernel, which adjusts the autocorrelation for constructing RV and provides improved performance compared with the 5-minute RV. In addition, our result also shows that a wider interval such as the 30-minute or 90-minute RV also performs well, suggesting that the intraday level of Bitcoin returns could contain greater levels of microstructure noise.

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 Bitcoin 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)

Ministry of Finance - Japan ( email )

3-1-1 Kasumigaseki
Chiyoda-ku
Tokyo, 100-8940
Japan

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