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Price volatilities of bitcoin futures

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  • Guo, Zi-Yi

Abstract

In this study, we first investigate the volatility term structure of the Bitcoin futures prices and observe that the price volatilities of Bitcoin futures contracts decrease as the delivery date nears, which is opposite to the Samuelson effect frequently observed in the commodity market. Then, we modify the stochastic multifactor model in Schwartz and Smith (2000) and fit it to the Bitcoin futures prices data. The results show that the standard stochastic multifactor model performs well in explaining the fluctuations of Bitcoin futures prices and generates an upward volatility term structure of the Bitcoin futures contracts prices. Nevertheless, some of the parameter's estimations exhibit non-negligible differences compared with those based on other commodity futures prices data in the existing literature, which indicates that the Bitcoin futures market might be different from the standard commodity futures market.

Suggested Citation

  • Guo, Zi-Yi, 2021. "Price volatilities of bitcoin futures," Finance Research Letters, Elsevier, vol. 43(C).
    • Handle: RePEc:eee:finlet:v:43:y:2021:i:c:s1544612321001033
    DOI: 10.1016/j.frl.2021.102022
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    Cited by:

    1. Yan, Lei & Mirza, Nawazish & Umar, Muhammad, 2022. "The cryptocurrency uncertainties and investment transitions: Evidence from high and low carbon energy funds in China," Technological Forecasting and Social Change, Elsevier, vol. 175(C).
    2. Shimeng Shi, 2022. "Bitcoin futures risk premia," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(12), pages 2190-2217, December.
    3. Guo, Zi-Yi, 2022. "Risk management of Bitcoin futures with GARCH models," Finance Research Letters, Elsevier, vol. 45(C).

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    More about this item

    Keywords

    Bitcoin; Samuelson effect; Stochastic multifactor model;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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