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Bitcoin (BTC) Volatility Supports Quality as "Digital Gold" While Bitcoin Cash (BCH) Among Most Volatile Coins in May

Jun 07, 2019

 

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30-Day Volatility in Major Cryptocurrencies

Name Ticker Rolling 30-Day Intra-Day Volatility Rolling 30-Day End of Day Volatility
Bitcoin BTC 89.6% 88.2%
Ethereum ETH 111.7% 116.8%
Ripple XRP 120.5% 135.0%
Litecoin LTC 121.4% 124.9%
Bitcoin Cash BCH 142.8% 151.7%
EOS EOS 125.0% 122.3%

 

  • We decided to take a look at realized volatility trends for some of the major cryptocurrencies we track to see if we can learn anything.
  • Here at Quantamize, we look at different measures of volatility to get a feel for the REAL volatility of price moves. We measure both intra-day volatility and end of day volatility  
  • We adjust the end of volatility calculation using an eGarch methodology to properly capture the impact from jumps in prices. 
  • This technique is borrowed from methodologies used to trade Forex.
     
  • Right off the bat, it is obvious that intra-day volatility is lower than end of day volatility which is a little counter-intuitive.
  • Takeaway: there is a slightly higher risk associated with “Hodl’ing”
     
  • Surprised to see Bitcoin (BTC) as the least volatile of the group.
  • As the benchmark crypto with correlations structurally high over the past month, we would have assumed that Bitcoin (BTC) would have a relatively higher volatility calculation.
     
  • Bitcoin Cash (BCH) is notably the most volatile of the group.
  • This is a little less surprising as BCH observed largely mixed sentiment in May, something we highlighted in our BCH Sentiment Post last week.  
  • Mixed BCH sentiment may be the direct result of heightened interest in Bitcoin SV (BSV), a major coin that forked from the BCH network.  
  • After BSV proponent Craig Wright claimed to be BTC creator Satoshi Nakamoto and received a copyright for the original crypto’s white paper, investors began to see BSV as more legitimate. This perhaps impacted the confidence among investors in the BCH network and paved the way for heightened volatility.

 

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