Bitcoin Volatility

A repeated criticism of bitcoin is its high volatility so I decided to have a look myself. This is the rolling 30 day annualized volatility of bitcoin measured in USD on bitstamp.net over the last year.

BTCLogVol

So while it is still over 100%, it is lower than its peak in December and that was lower than the peak in April. My guess is that as the ecosystem continues to grow we will see this trend of lower volatility continuing. Hopefully not to the point where it becomes boring though 🙂

Methodology:

  1. Download prices from http://bitcoincharts.com/charts/bitstampUSD for the last year + 30 days
  2. Compute the daily logarithmic returns on the closing prices for each day
  3. Compute the 1 day volatility (STDEV function in libre office calc) by using the last 30 daily logarithmic returns
  4. Annualize the 1 day volatility by multiplying by the square root of 365
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