Cryptocurrency Volatility, Skewness, Kurtosis


Shown above are descriptive statistics of cryptocurrency returns, namely: standard deviation (aka volatility), skewness, and kurtosis of cryptocurrency returns. These statistics are moments of the probability density functions of cryptocurrency returns. Volatility is in units of %/day, and the skewness and kurtosis are dimensionless. A positive skewness means the peak of the distribution is shifted to the left (i.e. peak is towards a lower price) and a negative skewness means the peak is shifted to the right (i.e. peak towards a higher price). Kurtosis is a measure for how heavy the tails of the distribution are, and a larger kurtosis signifies a heavy-tailed distribution. For reference, a Gaussian distribution has a skewness of 0 and a kurtosis of 3. This chart is updated daily and is computed using 90, 180, and 365 days of log returns. It is in fact the same data as presented here but visualized differently.

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.
Share on FacebookTweet about this on TwitterShare on RedditShare on Google+Email this to someoneShare on LinkedIn