A Bayesian Analysis of Stochastic Volatility Models in the Cryptocurrency Markets

View at Publisher

Ask AI

Bookmark

Share

Key Points

This research aims to investigate the applicability and behavior of stochastic volatility models in the cryptocurrency market using hourly data.
Applied stochastic volatility (SV) models to hourly data of seven major cryptocurrencies for 2024.
Incorporated trading volume and return variables into the model with Bernstein polynomials to capture seasonality.
Analyzed the statistical significance of regression coefficients associated with the explainers.
No statistically significant regression coefficients were found for trading volume and returns.
High persistence of estimated conditional volatility was observed.
No negative leverage effect was confirmed, and no significant seasonal patterns were detected.

Analyzes volatility in cryptocurrency markets, suggesting new market behavior insights.

No abstract yet. The journal hasn't published one we can show.

No takes yet. Share an insight, caveat, or question.

Nakakita et al. (2025) studied this question.

View at Publisher

Ask AI

Bookmark

Share