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Bitcoin, Litecoin, and the Euro: an annualized volatility analysis

Author

Listed:
  • Cynthia Miglietti
  • Zdenka Kubosova
  • Nicole Skulanova

Abstract

Purpose - This paper aims to empirically investigate the volatility of Bitcoin, Litecoin and the Euro. Design/methodology/approach - The authors use quantitative methodologies to assess the annualized volatility of two cryptocurrencies and one international fiat currency. The exchange rate of the currencies is monitored on a daily basis using 1,460 observations from January 1, 2014 to December 31, 2017. The models used include the augmented Dickey–Fuller test, Akaike Information Criteria, autocorrelation function and exchange rate changes determining which currency is the most volatile. Findings - The findings indicate, based on the statistical measures used, including the standard deviation of selected currencies and annualized volatility, that Litecoin is more volatile than Bitcoin and the Euro and that Bitcoin is more volatile than the Euro. This furthers previous research on cryptocurrency volatility. Originality/value - The paper provides compelling evidence about the volatility of Litecoin and Bitcoin. The volatility of cryptocurrencies is furthered with data that are more current. The findings are important for investors, financial markets and central banks.

Suggested Citation

  • Cynthia Miglietti & Zdenka Kubosova & Nicole Skulanova, 2019. "Bitcoin, Litecoin, and the Euro: an annualized volatility analysis," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 37(2), pages 229-242, July.
    • Handle: RePEc:eme:sefpps:sef-02-2019-0050
    DOI: 10.1108/SEF-02-2019-0050
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    Citations

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    Cited by:

    1. Ha, Le Thanh & Nham, Nguyen Thi Hong, 2022. "An application of a TVP-VAR extended joint connected approach to explore connectedness between WTI crude oil, gold, stock and cryptocurrencies during the COVID-19 health crisis," Technological Forecasting and Social Change, Elsevier, vol. 183(C).
    2. Samet Gunay & Kerem Kaskaloglu & Shahnawaz Muhammed, 2021. "Bitcoin and Fiat Currency Interactions: Surprising Results from Asian Giants," Mathematics, MDPI, vol. 9(12), pages 1-18, June.
    3. Lee, Yen-Sheng & Vo, Ace & Chapman, Thomas A., 2022. "Examining the Maturity of Bitcoin Price through a Catastrophic Event: The Case of Structural Break Analysis During the COVID-19 Pandemic," Finance Research Letters, Elsevier, vol. 49(C).
    4. Raza, Syed Ali & Ahmed, Maiyra & Aloui, Chaker, 2022. "On the asymmetrical connectedness between cryptocurrencies and foreign exchange markets: Evidence from the nonparametric quantile on quantile approach," Research in International Business and Finance, Elsevier, vol. 61(C).

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