Milan Pontiggia

Pathwise Roughness of Bitcoin Realized Volatility: Stability Across Time, Sampling, and Volatility Measures

This paper examines whether Bitcoin realized volatility admits a measurable pathwise roughness index and how stable that estimate is across time and measurement designs. Using one-minute BTC/USD close prices from Bitstamp between 2017 and 2024, realized-volatility paths are const...