Assessment of the Volatility of the Main Cryptocurrencies, the Euro and the Direct Exchange Rate of the Ruble

Abstract

The development of financial technologies in modern conditions has contributed to the active use of digital financial instruments — cryptocurrencies — in international settlements. The availability of up-to-date information on digital currency volatility will help crypto market participants predict the consequences of their transactions. The purpose of this work is to construct a new measure of the volatility of financial assets, in particular, cryptocurrencies, the euro and the direct exchange rate of the ruble. In order to obtain this measure, an analysis of known volatility measures was carried out, requirements for the measure of volatility of a financial asset were formulated, and, as a result, the volatility of the main cryptocurrencies, the euro and the direct exchange rate of the ruble, was assessed by the levels of the time series of monthly quotations of these assets in the time interval from 1.01.2022 to 1.04.2023. The scientific novelty in the paper is a reasonable new measure of absolute volatility. The main conclusions of the study are: 1) the measure of absolute volatility constructed in this paper has the dimension of the asset value and measures the part of the asset value that is generated by uncertainty in the values of its profitability; 2) Bitcoin Cash is the most volatile cryptocurrency, Bitcoin has the least volatility among cryptocurrencies; 3) the volatility of the direct exchange rate of the ruble (the price of the US dollar in rubles) is about half the volatility of Bitcoin; 4) out of competition in terms of volatility is the euro quote (the euro price in dollars) — 10% in a year and a half.

Keywords

• asset
• asset yield
• cryptocurrency
• measures of volatility