主要加密货币、欧元和卢布直接汇率波动性评估

Q3 Economics, Econometrics and Finance Finance: Theory and Practice Pub Date : 2024-03-01 DOI:10.26794/2587-5671-2024-28-1-133-144
V. Byvshev, M. A. Yashchenko
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引用次数: 0

摘要

现代金融技术的发展促进了数字金融工具--加密货币--在国际结算中的积极使用。数字货币波动性的最新信息将有助于加密货币市场参与者预测其交易的后果。这项工作的目的是构建一种新的金融资产波动性测量方法,特别是加密货币、欧元和卢布直接汇率。为了获得这种测量方法,我们对已知的波动性测量方法进行了分析,制定了金融资产波动性测量方法的要求,并根据这些资产在 2022 年 1 月 1 日至 2023 年 4 月 1 日期间的月度报价时间序列水平,评估了主要加密货币、欧元和卢布直接汇率的波动性。本文的科学新颖之处在于对绝对波动率进行了合理的新衡量。研究的主要结论是1)本文构建的绝对波动性度量具有资产价值维度,可以度量资产价值中由其盈利能力价值的不确定性所产生的部分;2)比特币现金是波动性最大的加密货币,比特币在加密货币中的波动性最小;3)卢布直接汇率(以卢布计价的美元价格)的波动率约为比特币波动率的一半;4)欧元报价(以美元计价的欧元价格)的波动率在竞争中处于劣势--一年半内波动率为 10%。
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Assessment of the Volatility of the Main Cryptocurrencies, the Euro and the Direct Exchange Rate of the Ruble
The development of financial technologies in modern conditions has contributed to the active use of digital financial instruments — cryptocurrencies — in international settlements. The availability of up-to-date information on digital currency volatility will help crypto market participants predict the consequences of their transactions. The purpose of this work is to construct a new measure of the volatility of financial assets, in particular, cryptocurrencies, the euro and the direct exchange rate of the ruble. In order to obtain this measure, an analysis of known volatility measures was carried out, requirements for the measure of volatility of a financial asset were formulated, and, as a result, the volatility of the main cryptocurrencies, the euro and the direct exchange rate of the ruble, was assessed by the levels of the time series of monthly quotations of these assets in the time interval from 1.01.2022 to 1.04.2023. The scientific novelty in the paper is a reasonable new measure of absolute volatility. The main conclusions of the study are: 1) the measure of absolute volatility constructed in this paper has the dimension of the asset value and measures the part of the asset value that is generated by uncertainty in the values of its profitability; 2) Bitcoin Cash is the most volatile cryptocurrency, Bitcoin has the least volatility among cryptocurrencies; 3) the volatility of the direct exchange rate of the ruble (the price of the US dollar in rubles) is about half the volatility of Bitcoin; 4) out of competition in terms of volatility is the euro quote (the euro price in dollars) — 10% in a year and a half.
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来源期刊
Finance: Theory and Practice
Finance: Theory and Practice Economics, Econometrics and Finance-Economics, Econometrics and Finance (miscellaneous)
CiteScore
1.30
自引率
0.00%
发文量
84
审稿时长
8 weeks
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