VCRIX - a volatility index for crypto-currencies

Arbeitspapier

Public interest, explosive returns, and diversification opportunities gave stimulus to the adoption of traditional financial tools to crypto-currencies. While the CRIX index offered the first scientifically-backed proxy to the crypto- market (analogous to S&P 500), the introduction of Bitcoin futures by Cboe became the milestone in the creation of the derivatives market for crypto- currencies. Following the intuition of the "fear index" VIX for the American stock market, the VCRIX volatility index was created to capture the investor expectations about the crypto-currency ecosystem. VCRIX is built based on CRIX and offers a forecast for the mean annualized volatility of the next 30 days, re-estimated daily. The model was back-tested for its forecasting power, resulting in low MSE performance and further examined by the simulation of VIX (resulting in a correlation of 78% between the actual VIX and VIX estimated with the VCRIX model). VCRIX provides forecasting functionality and serves as a proxy for the investors’ expectations in the absence of the de- veloped derivatives market. These features provide enhanced decision making capacities for market monitoring, trading strategies, and potentially option pricing.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: IRTG 1792 Discussion Paper ; No. 2019-027

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Model Construction and Estimation ; Model Evaluation, Validation, and Selection ; Forecasting Models; Simulation Methods ; General Financial Markets: General (includes Measurement and Data)
• Thema: index construction ; volatility ; crypto-currency ; VCRIX

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Kim, Alisa ; Trimborn, Simon ; Härdle, Wolfgang Karl
• Ereignis: Veröffentlichung
• (wer): Humboldt-Universität zu Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"
• (wo): Berlin
• (wann): 2019

Weitere Informationen

• Handle: http://hdl.handle.net/10419/230803
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ