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Dual asymmetries in Bitcoin

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  • Tsuji, Chikashi

Abstract

This study aims to uncover dual asymmetries in Bitcoin by comparing it with the S&P 500. To achieve this goal, we utilized the fully unified GARCH model, which incorporates return-variance asymmetry, skew-GED errors, and structural breaks. Our comparative analysis using weekly data from 2010 to 2024 has revealed the following new findings. First, our fully unified GARCH model was effective in estimating the volatilities of both Bitcoin and the S&P 500. Furthermore, our analysis reveals that the return residuals of Bitcoin exhibit positive skewness, in contrast to the negative skewness observed in the S&P 500, suggesting a remarkable asymmetry in Bitcoin. Additionally, our analysis also discovers a positive relationship between one-week lagged returns and volatilities of Bitcoin, contrasting with the negative relation seen in the S&P 500, suggesting another striking asymmetry in Bitcoin.

Suggested Citation

  • Tsuji, Chikashi, 2025. "Dual asymmetries in Bitcoin," Finance Research Letters, Elsevier, vol. 82(C).
    • Handle: RePEc:eee:finlet:v:82:y:2025:i:c:s154461232500710x
    DOI: 10.1016/j.frl.2025.107450
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    References listed on IDEAS

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    1. Marti, Robert & Reimat, Anne, 2025. "Bitcoin and global stock portfolio: Dynamics across short and long-term horizons," Finance Research Letters, Elsevier, vol. 86(PG).

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