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Bitcoin, Litecoin, and the Euro: an annualized volatility analysis

Cynthia Miglietti (Bowling Green State University–Firelands, Huron, Ohio, USA)
Zdenka Kubosova (Silesian University in Opava–School of Business Administration, Karvina, Czech Republic)
Nicole Skulanova (Silesian University in Opava–School of Business Administration, Karvina, Czech Republic)

Studies in Economics and Finance

ISSN: 1086-7376

Article publication date: 12 July 2019

Issue publication date: 23 September 2020

Abstract

Purpose

This paper aims to empirically investigate the volatility of Bitcoin, Litecoin and the Euro.

Design/methodology/approach

The authors use quantitative methodologies to assess the annualized volatility of two cryptocurrencies and one international fiat currency. The exchange rate of the currencies is monitored on a daily basis using 1,460 observations from January 1, 2014 to December 31, 2017. The models used include the augmented Dickey–Fuller test, Akaike Information Criteria, autocorrelation function and exchange rate changes determining which currency is the most volatile.

Findings

The findings indicate, based on the statistical measures used, including the standard deviation of selected currencies and annualized volatility, that Litecoin is more volatile than Bitcoin and the Euro and that Bitcoin is more volatile than the Euro. This furthers previous research on cryptocurrency volatility.

Originality/value

The paper provides compelling evidence about the volatility of Litecoin and Bitcoin. The volatility of cryptocurrencies is furthered with data that are more current. The findings are important for investors, financial markets and central banks.

Keywords

Citation

Miglietti, C., Kubosova, Z. and Skulanova, N. (2020), "Bitcoin, Litecoin, and the Euro: an annualized volatility analysis", Studies in Economics and Finance, Vol. 37 No. 2, pp. 229-242. https://doi.org/10.1108/SEF-02-2019-0050

Publisher

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Emerald Publishing Limited

Copyright © 2019, Emerald Publishing Limited