Abstract
This study investigates the scale-dependent structure of asymmetric volatility effect in six representative cryptocurrencies: Bitcoin, Ethereum, Ripple, Litecoin, Monero, and Dash. By developing the dynamical approach of DFA-based fractal regression analysis, we detect whether the volatility of price changes is positively or negatively related to return shocks at different time scales. We find that the asymmetric volatility phenomenon varies by scale and cryptocurrency, and the structure is time-varying. Contrary to what is typically observed in equity markets, minor currencies show an “inverse” asymmetric volatility effect at relatively large scales, where positive shocks (good news) have a greater impact on volatility than negative shocks (bad news). The consequences are discussed in the context of who is trading in the market and heterogeneity of the investors.
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