What Drives Crypto’s Volatility Persistence: A Data Analytic Probe on Ethereum

Abstract

This study investigates cryptocurrency volatility dynamics, particularly focusing on Ethereum (ETH). We dissect long- and short-term volatility components to gain deeper insights into its evolution. This approach allows studying the impact of ETH’s Merge upgrade, replacing Proof-of-Work with Proof-of-Stake on September 15, 2022. Employing 29 empirical factors related to blockchain functionality and crypto market characteristics, we explore their long-term equilibrium connection with price volatility. Our findings reveal that scalability factors and wealth dis- tribution significantly influence volatility persistence, ultimately highlighting the stability-enhancing impact of Ethereum’s Merge upgrade.