15.01.2019; Kolloquium

Kolloquium - Alisa Kolesnikova "VCRIX-volatitliy index for crypto-currencies on the basis of CRIX"

18:15 - 19:45 Uhr
Festsaal der Fakultät Wirtschaftswissenschaft, Hülße-Bau, 3. Etage Nordflügel
Helmholtzstr. 10, 01069 Dresden

Alisa Kolesnikova, Humboldt-Universität zu Berlin

The crypto-currency market brings along unusual levels of risk and returns compared to traditional markets. Historical volatility shows behavior that is rendering established trading strategies obsolete calling for new methods of portfolio management, yet the implied volatility is of even higher importance since it allows for an expectation about the future risk. For the US market CBOE offers the VIX, in Germany VDAX is provided as a measure for implied volatility, both based on the respective options market. Given the absence of a developed crypto-currency derivatives market, this research proposes a methodology to create VCRIX (a parent index to CRIX) - a volatility index, able to grasp the risk induced by the crypto-currency market. VCRIX addresses the market dynamics providing a mean directional accuracy (MDA) of 46% compared to CRIX realized volatility estimated from high-frequency data. In an application of the methodology to the US market, we are able to track the performance of VIX with correlation of 69 % and an MDA of 60%. VCRIX is shown to be an adequate measure for implied volatility, thus proved to be a proper basis for option pricing. The codes used to obtain the results in this paper are available via www.quantlet.de

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Uta Schwarz
Letzte Änderung: 05.10.2018