Comparing Bitcoin and Ethereum tail behavior via Q-Q analysis of cryptocurrency returns
Fuente:
arXiv
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| Autor principal: | |
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| Formato: | Preprint |
| Publicado: |
2025
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| _version_ | 1866918080751337472 |
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| author | Nzokem, A. H. |
| author_facet | Nzokem, A. H. |
| contents | The cryptocurrency market presents both significant investment opportunities and higher risks relative to traditional financial assets. This study examines the tail behavior of daily returns for two leading cryptocurrencies, Bitcoin and Ethereum, using seven-parameter estimates from prior research, which applied the Generalized Tempered Stable (GTS) distribution. Quantile-quantile (Q-Q) plots against the Normal distribution reveal that both assets exhibit heavy-tailed return distributions. However, Ethereum consistently shows a greater frequency of extreme values than would be expected under its Bitcoin-modeled counterpart, indicating more pronounced tail risk. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2507_01983 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Comparing Bitcoin and Ethereum tail behavior via Q-Q analysis of cryptocurrency returns Nzokem, A. H. Statistical Finance Probability The cryptocurrency market presents both significant investment opportunities and higher risks relative to traditional financial assets. This study examines the tail behavior of daily returns for two leading cryptocurrencies, Bitcoin and Ethereum, using seven-parameter estimates from prior research, which applied the Generalized Tempered Stable (GTS) distribution. Quantile-quantile (Q-Q) plots against the Normal distribution reveal that both assets exhibit heavy-tailed return distributions. However, Ethereum consistently shows a greater frequency of extreme values than would be expected under its Bitcoin-modeled counterpart, indicating more pronounced tail risk. |
| title | Comparing Bitcoin and Ethereum tail behavior via Q-Q analysis of cryptocurrency returns |
| topic | Statistical Finance Probability |
| url | https://arxiv.org/abs/2507.01983 |