Original title: Proč jsou kryptoměny tak nestabilní?
Translated title: Why are cryptocurrencies so unstable?
Authors: Cimler, Štěpán ; Krištoufek, Ladislav (advisor) ; Šíla, Jan (referee)
Document type: Bachelor's theses
Year: 2025
Language: eng
Abstract: [eng] [cze]
This thesis examines the roots of price instability in cryptoasset markets. Using daily data from 2016 to 2022, it estimates volatility for Ethereum, XRP, Doge- coin, Stellar Lumen and Litecoin with the Garman-Klass range-based estima- tor. This exploits intraday price information that is usually not taken into con- sideration when using return-based metrics. A log-log two-stage least-squares framework relates volatility to exchange volume, on-chain transfers, active ad- dresses, stable-coin supply, own price, lagged volatility and Bitcoin's domi- nance, instrumenting endogenous variables with hash rate, circulating supply and traditional-market indicators. Results show that volatility of alternative cryptoassets reacts only weakly to conventional fundamentals: for Ethereum, user activity and stablecoin liquidity temper volatility while speculative trad- ing, price surges and persistence amplify it; for XRP and Dogecoin, none of the tested drivers matter besides persistence; for Stellar Lumen and Litecoin, Bit- coin dominance slightly stabilizes prices. Overall explanatory power is modest, suggesting that other undefined e!ects drive the volatility in alternative cryp- toasset markets. The study pioneers the combination of range-based volatility and instrumental-variables analysis in this field and... Tato práce zkoumá faktory cenové nestability na trzích s kryptoaktivy. Na základ! denních dat z let 2016 a" 2022 odhaduje volatilitu pro Ethereum, XRP, Dogecoin, Stellar Lumen a Litecoin pomocí Garman-Klassova odhadu zalo"eného na rozsahu, kter# vyu"ívá informace o vnitrodenních cenách, je" jsou obvykle ignorovány metrikami volatility zalo"en#mi na v#nosech. Log- aritmická dvoustup$ová metoda nejmen%ích &tverc' vztahuje volatilitu k ob- jemu na burzách, p(evod'm na blockchainu, aktivním adresám, nabídce sta- blecoin', vlastní cen!, zpo"d!né volatilit! a dominanci Bitcoinu, p(i&em" endo- genní prom!nné instrumentuje pomocí hashrate, nabídky v ob!hu a tradi&ními tr"ními ukazateli. V#sledky ukazují, "e volatilita alternativních kryptoaktiv reaguje na tradi&ní fundamenty jen slab!: u Etherea aktivita u"ivatel' a lik- vidita stablecoin' volatilitu mírní, zatímco spekulativní obchodování, cenové nár'sty a perzistence ji zesilují; u XRP a Dogecoinu nemá krom! perzistence "ádn# z testovan#ch faktor' v#znam; u Stellar Lumen a Litecoinu dominance Bitcoinu ceny mírn! stabilizuje. Celková vysv!tlující síla je nízká, co" naz- na&uje, "e volatilitu na alternativních trzích s kryptoaktivy ovliv$ují jiné, ne- nalezené faktory. Studie poskytuje nov# pohled kombinací volatility zalo"ené na rozsahu a anal#zy instrumentálních...
Keywords: cryptocurrency; range-based estimator; two-stage least squares (2SLS); volatility; dvoufázová metoda nejmenších čtverců (2SLS); kryptoměna; rozsahový odhadce; volatilita

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/199641

Permalink: http://www.nusl.cz/ntk/nusl-685878


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Universities and colleges > Public universities > Charles University > Charles University Faculties (theses)
Academic theses (ETDs) > Bachelor's theses