An Application of Autoregressive Extreme Value Theory to Cryptocurrencies

Abstract

We study the tails’ behavior of four major Cryptocurrencies (Bitcoin, Litecoin, Ethereum and Ripple) by employing the Autoregressive Fr´echet model for conditional maxima. Using five-minute-high-frequency data, we report time-evolving tails as well as provide a straightforward measure of tails asymmetry for positive and negative intra-day returns. We find that only Bitcoin has a notable more massive tail for positive returns asymmetry while the remaining three Cryptocurrencies have a general tendency towards more massive negative intra-day tails. All considered Cryptocurrencies depict lighter tails as the market matures.