We explore the scaling properties of price-volatility nexus in cryptocurrency markets and address the issue of the asymmetric volatility effect within a framework of fractal analysis .
<meaning-changed> We explore the scaling properties of price-volatility nexus in cryptocurrency markets and address the issue of the asymmetric volatility effect within a framework of fractal analysis .
We explore the scaling properties of price-volatility nexus in cryptocurrency markets and address the issue of the asymmetric volatility effect between uptrend (bull) and downtrend (bear) regimes. The conventional GARCH-class models have shown that in cryptocurrency markets, asymmetric reactions of volatility to returns differ from those of other traditional financial assets. We address this issue from a viewpoint of fractal analysis .