Robust outliers detection method for volatility of bitcoin exchange rate using three sigma (3Σ) approach

• Main Authors: Abu Bakar, Nashirah, Rosbi, Sofian
• Format: Conference or Workshop Item
• Language: English
• Published: 2017
• Subjects: QA Mathematics
• Online Access: http://repo.uum.edu.my/23074/1/ICSSR%202017%20399%20410.pdf; http://repo.uum.edu.my/23074/
• Institution: Universiti Utara Malaysia

Cryptocurrency is a digital currency designed to work as a medium of exchange using cryptography to secure the transactions, to control the creation of additional units, and to verify the transfer of assets. The objective of this study is to evaluate the volatility condition for cryptocurrency (Bitcoin) exchange rate and return. Volatility calculated as standard deviation of logarithmic returns.This study performed normality test using Shapiro-Wilk method.Then, the high volatility detection performed using box-whisker plot and statistical process control chart. In descriptive statistical analysis, the mean for Bitcoin return is 0.006 and the deviation is 0.04458.The standard error indicates the volatility for Bitcoin is 4.458 %. This value is considered as high value of volatility.High value of volatility indicates the investment in Bitcoin is categorical as high risk investment.The important of this study is to assist investors to develop better investment portfolio in targeting better profit and lowering the loss.