Empirical analysis shows changes in Bitcoin volatility, highlighting impacts of belief formation and trading limitations.
This paper studies short-horizon changes in Bitcoin implied volatility using an interdisciplinary empirical framework that combines on-chain metrics, macroeconomic indicators, and market data. The analysis emphasizes belief formation, volatility dynamics, and limits to arbitrage in crypto-derivative markets, highlighting the distinction between statistical predictability and economic realizability under realistic trading frictions.
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Prof. Anuj Kumar Pal (2025) studied this question.
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