Volatility of Cryptocurrency Returns


Volatility is a measure of the dispersion of returns. Shown above are annualized volatilities based on log returns calculated from volume weighted average daily prices over 90, 180, and 365 days. This volatility is used in the denominator of the Sharpe and a modified version is used in Sortino ratios. 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 \(\mu = \int_{-\infty}^{+\infty} r_c p(r_c)\text{d}r_c\). This chart is updated daily.

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, GLD = SPDR Gold Shares.

Raw price data courtesy of Poloniex.
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