Does 5-Minute RV Outperform Other Realized Measures in the Bitcoin Market?
12 Pages Posted: 10 Jul 2019
Date Written: July 7, 2019
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: Suggested Citation