Cryptocurrency Volatility: A Review, Synthesis, and Research Agenda

This paper takes part in the ongoing debate on the newly emerging field of financial technology by systematically reviewing 164 articles on cryptocurrency volatility during the period from 2016 to December 2022. This paper also aims to enlighten academics and practitioners about the beneficial insights gained from cryptocurrency volatility research, identify existing research gaps, and propose a new research agenda in the subject of study. To this end, realized volatility, almost all stylized facts, implied volatility, stochastic volatility, and drivers of volatility are discussed. Finally, we propose that future researchers concentrate on high-frequency data (i.e., hourly, minutely, and secondly), the use of machine learning models, crypto derivatives, crypto individual investor behavior, the impact of the new existence of institutional investors, stablecoins, and the evaluation of the forecasts of cryptocurrency volatility.