[Research] Econometric proof of volatility clustering, volatility jumps, asymmetric volatility transitions in Bitcoin price data. We also introduce a more intuitive way of mapping volatility transition probabilities.
View at Social Science Research Network (SSRN), 'Regime Heteroskedasticity in Bitcoin: A Comparison of Markov Switching Models'.
www.ssrn.com/abstract=3290603
Thanks,
Daniel Chappell
MSc FRM PRM IMC MCSI