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| Main Author: | |
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| Format: | Preprint |
| Published: |
2025
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/2511.03314 |
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Table of Contents:
- The finite sample effect on the Hurst exponent (HE) of realized volatility time series is examined using Bitcoin data. This study finds that the HE decreases as the sampling period $Δ$ increases and a simple finite sample ansatz closely fits the HE data. We obtain values of the HE as $Δ\rightarrow 0$, which are smaller than 1/2, indicating rough volatility. The relative error is found to be $1\%$ for the widely used five-minute realized volatility. Performing a multifractal analysis, we find the multifractality in the realized volatility time series, smaller than that of the price-return time series.