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Introducing the Cryptocurrency VIX: CVIX✰

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  • Bonaparte, Yosef

Abstract

We present a theoretical and empirical methodology reflects the Cryptocurrency version of VIX capturing the future 30-day forward Crypto risk. Our framework is built on the asymptotic distribution theory that utilizes the idiosyncratic and systematic Crypto risk and is not based on the option implied volatility model, that developed by the CBOE for the S&P Volatility Index VIX. For back testing, our CVIX projected with accuracy of over 89% the 30 days forward Crypto realized volatility. Our framework is superior to the option based VIX due to the fact that the option market does not represents all the stock market.

Suggested Citation

  • Bonaparte, Yosef, 2023. "Introducing the Cryptocurrency VIX: CVIX✰," Finance Research Letters, Elsevier, vol. 54(C).
    • Handle: RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323000867
    DOI: 10.1016/j.frl.2023.103712
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    References listed on IDEAS

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    1. v{S}tefan Ly'ocsa & Tom'av{s} Pl'ihal, 2022. "Russia's Ruble during the onset of the Russian invasion of Ukraine in early 2022: The role of implied volatility and attention," Papers 2205.09179, arXiv.org.
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    4. Tauchen, George, 1985. "Diagnostic testing and evaluation of maximum likelihood models," Journal of Econometrics, Elsevier, vol. 30(1-2), pages 415-443.
    5. Bonaparte, Yosef & Chatrath, Arjun & Christie-David, Rohan, 2023. "S&P volatility, VIX, and asymptotic volatility estimates," Finance Research Letters, Elsevier, vol. 51(C).
    6. Liu, Zhichao & Liu, Jing & Zeng, Qing & Wu, Lan, 2022. "VIX and stock market volatility predictability: A new approach," Finance Research Letters, Elsevier, vol. 48(C).
    7. Patton, Andrew J., 2011. "Volatility forecast comparison using imperfect volatility proxies," Journal of Econometrics, Elsevier, vol. 160(1), pages 246-256, January.
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    More about this item

    Keywords

    Crypto currency; Bitcoin; Asymptotic theory; Cryptocurrency VIX; CVIX;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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