TITLE:
Modeling Cryptocurrency Market Volatility during FOMC Announcements: Evidence from High-Frequency Data
AUTHORS:
Barış Falay
KEYWORDS:
Realized Volatility, Cryptocurrency, High-Frequency Data, FOMC
JOURNAL NAME:
Journal of Mathematical Finance,
Vol.14 No.4,
September
24,
2024
ABSTRACT: This study investigates the impact of Federal Open Market Committee (FOMC) announcements on cryptocurrency market volatility using high-frequency data. Realized Variance (RV) is used to measure cryptocurrency market volatility, with a focus on Bitcoin (BTC). Using a dataset of over 3.4 million observations, our results indicate that cryptocurrency market volatility significantly increases on FOMC announcement days. Furthermore, we show that intraday volatility is not stable during the FOMC announcement period, with notable fluctuations both before (11 a.m.) and after (3 p.m.) the key monetary policy announcement. The empirical evidence provides crucial information about the reaction of the cryptocurrency market to macroeconomic policy news, offering valuable insights for investors, policymakers, and researchers.