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Fractal Fract
Volume 7
Issue 1
10.3390/fractalfract7010085
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Article

Analyzing Asymmetric Volatility and Multifractal Behavior in Cryptocurrencies Using Capital Asset Pricing Model Filter

by
Minhyuk Lee
1,
Younghwan Cho
2,
Seung Eun Ock
2 and
Jae Wook Song
2,*
1
Department of Business Administration, Pusan National University, Busan 46241, Republic of Korea
2
Department of Industrial Engineering, Hanyang University, Seoul 04763, Republic of Korea
*
Author to whom correspondence should be addressed.
Fractal Fract. 2023, 7(1), 85; https://doi.org/10.3390/fractalfract7010085
Submission received: 31 October 2022 / Revised: 6 January 2023 / Accepted: 7 January 2023 / Published: 12 January 2023
(This article belongs to the Special Issue Fractal and Multifractal Analysis in Financial Markets)
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Abstract

This research analyzes asymmetric volatility and multifractality in four representative cryptocurrencies using index-based asymmetric multifractal detrended fluctuation analysis. We suggest investigating an idiosyncratic risk premium, which can be obtained by removing the market influence in the cryptocurrency return series. We call the process a capital asset pricing model filter. The analyses on the original return series showed no significant sign of asymmetric volatility. However, the filter revealed a distinct asymmetric volatility, distinguishing the uptrend and downtrend fluctuations. Furthermore, the analyses on the idiosyncratic risk premium detected some cases of asymmetry in the degree and source of multifractality, whereas that on the original return series failed to detect the asymmetry. In conclusion, in a highly volatile market, the capital asset pricing model filter can improve an investigation of the asymmetric multifractality in cryptocurrencies.
Keywords: multifractal detrended fluctuation analysis; capital asset pricing model filter; idiosyncratic risk premium; asymmetric volatility; asymmetric multifractality multifractal detrended fluctuation analysis; capital asset pricing model filter; idiosyncratic risk premium; asymmetric volatility; asymmetric multifractality

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MDPI and ACS Style

Lee, M.; Cho, Y.; Ock, S.E.; Song, J.W. Analyzing Asymmetric Volatility and Multifractal Behavior in Cryptocurrencies Using Capital Asset Pricing Model Filter. Fractal Fract. 2023, 7, 85. https://doi.org/10.3390/fractalfract7010085

AMA Style

Lee M, Cho Y, Ock SE, Song JW. Analyzing Asymmetric Volatility and Multifractal Behavior in Cryptocurrencies Using Capital Asset Pricing Model Filter. Fractal and Fractional. 2023; 7(1):85. https://doi.org/10.3390/fractalfract7010085

Chicago/Turabian Style

Lee, Minhyuk, Younghwan Cho, Seung Eun Ock, and Jae Wook Song. 2023. "Analyzing Asymmetric Volatility and Multifractal Behavior in Cryptocurrencies Using Capital Asset Pricing Model Filter" Fractal and Fractional 7, no. 1: 85. https://doi.org/10.3390/fractalfract7010085

APA Style

Lee, M., Cho, Y., Ock, S. E., & Song, J. W. (2023). Analyzing Asymmetric Volatility and Multifractal Behavior in Cryptocurrencies Using Capital Asset Pricing Model Filter. Fractal and Fractional, 7(1), 85. https://doi.org/10.3390/fractalfract7010085

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