[RESEARCH] Econometric proof of stylized characteristics in Bitcoin data

[Chappe11]

[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