The Korean Journal of Applied Statistics (응용통계연구)

The Korean Statistical Society (한국통계학회)
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Hidden Markov model with stochastic volatility for estimating bitcoin price volatility

확률적 변동성을 가진 은닉마르코프 모형을 통한 비트코인 가격의 변동성 추정

  • Tae Hyun Kang (Department of Applied Statistics, Chung-Ang University) ;
  • Beom Seuk Hwang (Department of Applied Statistics, Chung-Ang University)
  • 강태현 (중앙대학교 응용통계학과) ;
  • 황범석 (중앙대학교 응용통계학과)
  • Received : 2022.12.07
  • Accepted : 2022.12.15
  • Published : 2023.02.28
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Abstract

The stochastic volatility (SV) model is one of the main methods of modeling time-varying volatility. In particular, SV model is actively used in estimation and prediction of financial market volatility and option pricing. This paper attempts to model the time-varying volatility of the bitcoin market price using SV model. Hidden Markov model (HMM) is combined with the SV model to capture characteristics of regime switching of the market. The HMM is useful for recognizing patterns of time series to divide the regime of market volatility. This study estimated the volatility of bitcoin by using data from Upbit, a cryptocurrency trading site, and analyzed it by dividing the volatility regime of the market to improve the performance of the SV model. The MCMC technique is used to estimate the parameters of the SV model, and the performance of the model is verified through evaluation criteria such as MAPE and MSE.

Stochastic volatility (SV) 모형은 시변 변동성을 모델링하는 주요한 수단 중 하나이며, 특히 금융시장 변동성의 추정 및 예측, 옵션의 가격 결정 등의 분야에서 활발하게 사용되고 있다. 본 논문은 SV 모형을 활용하여 비트코인 시장의 시변 변동성을 모델링하고자 한다. 시장의 변동성은 국면 전환의 특성을 갖고 있다고 알려져 있으며, 시장의 변동 국면을 나누기 위해 시계열의 패턴을 인식하는 작업에 유용한 hidden Markov model(HMM)을 결합하여 사용하고자 한다. 본 연구는 암호화폐 거래 사이트 업비트의 비트코인 데이터를 활용하여 비트코인의 변동성 모형을 추정하였으며 SV 모형의 성능을 높이기 위하여 시장의 변동 국면을 나누어 분석을 진행하였다. MCMC 기법이 SV 모델의 모수를 추정하는 데 사용되며 MAPE, MSE 등의 평가 기준을 통하여 모델의 성능을 확인하고자 한다.

Keywords

Acknowledgement

이 논문은 2021년도 중앙대학교 CAU GRS 지원에 의하여 작성되었고, 2019 년도 정부(과학기술정보통신부)의 재원으로 한국연구재단의 지원을 받아 수행된 기초연구사업임 (NRF-2019R1C1C1011710).

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