An Application of Autoregressive Extreme Value Theory to Cryptocurrencies

Chun Kwong Koo, Artur Semeyutin, Chi Keung Lau, Jian Fu

Research output: Contribution to journalArticle

Abstract

We study the tails' behavior of four major Cryptocurrencies (Bitcoin, Litecoin, Ethereum, and Ripple) by employing the Autoregressive Fréchet model for conditional maxima. Using five-minutehigh-frequency data, we report time-evolving tails as well as provide a straightforward measure of tails asymmetry for positive and negative intra-day returns. We find that only Bitcoin has a notable more massive tail for positive returns asymmetry while the remaining three Cryptocurrencies have a general tendency towards more massive negative intra-day tails. All considered Cryptocurrencies depict lighter tails as the market matures.
Original languageEnglish
JournalSingapore Economic Review
Publication statusAccepted/In press - 21 Mar 2020

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