Related Experiment Video
Updated: Nov 19, 2025

Measuring the Subjective Value of Risky and Ambiguous Options using Experimental Economics and Functional MRI Methods
Published on: September 19, 2012
Time-varying properties of asymmetric volatility and multifractality in Bitcoin
1Hiroshima University of Economics, Hiroshima, Japan.
Abstract:
This study investigates the volatility of daily Bitcoin returns and multifractal properties of the Bitcoin market by employing the rolling window method and examines relationships between the volatility asymmetry and market efficiency. Whilst we find an inverted asymmetry in the volatility of Bitcoin, its magnitude changes over time, and recently, it has become small. This asymmetric pattern of volatility also exists in higher frequency returns. Other measurements, such as kurtosis, skewness, average, serial correlation, and multifractal degree, also change over time. Thus, we argue that properties of the Bitcoin market are mostly time dependent. We examine efficiency-related measures: the Hurst exponent, multifractal degree, and kurtosis. We find that when these measures represent that the market is more efficient, the volatility asymmetry weakens. For the recent Bitcoin market, both efficiency-related measures and the volatility asymmetry prove that the market becomes more efficient.
Related Concept Videos
Standard Deviation
Variance
The standard deviation measures the spread in the same units as the data....
Properties of Fourier Transform II
The Frequency Shifting property of Fourier Transforms highlights that a shift in the frequency domain corresponds to a phase shift in the time domain. Mathematically, if x(t) has...
Properties of Fourier series II
A function f(t) is...
Noncompartmental Analysis: Statistical Moment Theory
Properties of Fourier series I

