Crypto Realised Volatility Clusters and Cross-Asset Correlations
Summary
The commentary compares rolling 90-day realised volatility across major crypto-assets, smaller tokens and traditional market benchmarks, then examines how changes in volatility move together. It reports unusually low realised volatility across most assets considered, with XRP and XLM standing out after regulatory news. The analysis finds volatility changes are more closely related within crypto than between crypto and traditional assets, and identifies DOGE and LINK as relative exceptions in their crypto correlations.
A further comparison tracks crypto volatility correlation with US equities over time. The relationship had been stronger during a period of market stress, but fell toward zero after early November left the rolling observation windows; correlation had already been low since early May. These are descriptive historical findings, based on rolling measures and selected assets. They do not establish a causal relationship, predict future correlations, or show how a trading strategy would perform.
Key ideas
- Realised volatility was reported at historically low levels across most of the crypto-assets and benchmarks examined.
- Changes in realised volatility were more strongly correlated within crypto than between crypto and traditional assets.
- DOGE was relatively weakly correlated with the broader crypto group, while LINK moved more closely with many crypto-assets.
- Crypto volatility’s correlation with US equities had declined toward zero in the reported rolling analysis.
- The commentary describes historical co-movement and does not establish causes or forecast future volatility.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.