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Detecting Structural Changes in Bitcoin, Altcoins, and the S&P 500 Using the GSADF Test: A Comparative Analysis of 2024 Trends

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  • Azusa Yamaguchi

    (School of Physics and Astronomy, University of Edinburgh, Edinburgh EH9 3FD, UK)

Abstract

Understanding structural regime shifts in crypto asset markets is vital for early detection of systemic risk. This study applies the Generalized Sup Augmented Dickey–Fuller (GSADF) test to daily high-frequency price data of five major crypto assets—BTC, ETH, SOL, AAVE, and BCH—from 2023 to 2025. The results reveal asset-specific structural breaks: BTC and BCH aligned with macroeconomic shocks, while DeFi tokens (e.g., AAVE, SOL) exhibited fragmented, project-driven shifts. The S&P 500 index, in contrast, showed no persistent regime shifts, indicating greater structural stability. To examine inter-asset linkages, we construct co-occurrence matrices based on GSADF breakpoints. These reveal strong co-explosivity between BTC and other assets, and unexpectedly weak synchronization between ETH and AAVE, underscoring the sectoral idiosyncrasies of DeFi tokens. While the GSADF test remains central to our analysis, we also employ a Markov Switching Model (MSM) as a secondary tool to capture short-term volatility clustering. Together, these methods provide a layered view of long- and short-term market dynamics. This study highlights crypto markets’ structural heterogeneity and proposes scalable computational frameworks for real-time monitoring of explosive behavior.

Suggested Citation

  • Azusa Yamaguchi, 2025. "Detecting Structural Changes in Bitcoin, Altcoins, and the S&P 500 Using the GSADF Test: A Comparative Analysis of 2024 Trends," JRFM, MDPI, vol. 18(8), pages 1-18, August.
    • Handle: RePEc:gam:jjrfmx:v:18:y:2025:i:8:p:450-:d:1722582
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    References listed on IDEAS

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    1. Katsiampa, Paraskevi, 2017. "Volatility estimation for Bitcoin: A comparison of GARCH models," Economics Letters, Elsevier, vol. 158(C), pages 3-6.
    2. Corbet, Shaen & Lucey, Brian & Urquhart, Andrew & Yarovaya, Larisa, 2019. "Cryptocurrencies as a financial asset: A systematic analysis," International Review of Financial Analysis, Elsevier, vol. 62(C), pages 182-199.
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