Re:Bitcoin Plunges By Nearly $30 As Largest Market Suffers O...
by JumpCrisscross on Wednesday April 03, 2013 @08:21PM
(#5490174)
Observing the last about 1 year of data (N = 363), BTC/USD has had an annualised daily volatility of 6 880 bps (100 bps = 1 percentage point). This is more volatile than the most volatile U.S. stocks.
What does this mean, practically? A Gaussian distribution is a bad fit for the data. Using the more appropriate Normal Inverse Gaussian (NIG) distribution [1], we find that this is an event that would be expected once every 3 1/2 years. Still seems high since just last August we saw a -24% day.
What does this mean, practically? A Gaussian distribution is a bad fit for the data. Using the more appropriate Normal Inverse Gaussian (NIG) distribution [1], we find that this is an event that would be expected once every 3 1/2 years. Still seems high since just last August we saw a -24% day.
[1] http://www.unc.edu/~maguilar/UNCNCSU/NIG_EGW.pdf