Cryptocurrency Volatility Index

Cryptocurrency:

The cryptocurrency volatility index is composed of six currencies: BTC, ETH, XRP, LTC, DASH, and XMR. The volatility index is weighted by the market capitalization of each currency which is updated daily. For example, on 9/6/2017 the weights were
Currency Weight
BTC 61.2%
ETH 25.0%
XRP 6.9%
LTC 3.3%
DASH 2.1%
XMR 1.4%
The volatility is a measure of the dispersion of returns. Shown above is a time-series of the annualized volatilities based on the previous 90 days of log returns calculated from volume weighted average daily prices. Specifically, the volatility is \[\sigma=\left(\int_{-\infty}^{+\infty} (r_c-\mu)^2 p(r_c) \text{d}r_c \right)^{1/2},\]where \(r_c\) denotes the return of the cryptocurrency, \(p(r_c)\) the probability of observing that return and the mean \(\mu = \int_{-\infty}^{+\infty} r_c p(r_c)\text{d}r_c\). The most recent volatility for some cryptocurrencies is shown here.

Select a currency to display its volatility and time-series projection. The historical volatility is calculated using the returns from the previous 90 days. The projection is an ARIMA process (autoregressive, integrated, moving-average) based on the historical data. To put the volatility of cryptocurrencies in perspective, the annualized historical, long-term average of realized volatility of the S&P 500 index is roughly 15%/year. The time axis is GMT. This chart is updated daily. Informational purposes only.

BTC = Bitcoin, ETH = Ethereum, BCH = Bitcoin Cash, XRP = Ripple, LTC = Litecoin, DASH = Dash, XMR = Monero, XEM = NEM, ETC = Ethereum Classic, XLM = Stellar Lumens, ZEC = Zcash, NXT = Nxt, REP = Augur, LSK = Lisk, FCT = Factom.

Raw price data courtesy of Poloniex and market capitalization data courtesy of coinmarketcap.com.
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