The Nature of The Beast
In this paper, we examine several aspects of volatility for the 50 largest cryptocurrencies. For instance, we study the standard deviation and variance of returns, the autocorrelation of absolute and squared returns, the beta of returns vis-à-vis Bitcoin, the leverage effect of cryptocurrency returns versus the standard deviation of returns and how calendar effects impact the magnitude of cryptocurrency price returns. As far as we know, this is the most exhaustive study done to date on cryptocurrency returns and volatility.