Analyzing Asymmetric Volatility and Multifractal Behavior in Cryptocurrencies Using Capital Asset Pricing Model Filter

This research analyzes asymmetric volatility and multifractality in four representative cryptocurrencies using index-based multifractal detrended fluctuation analysis. We suggest investigating an idiosyncratic risk premium, which can be obtained by removing the market influence cryptocurrency return series. call process a capital asset pricing model filter. The analyses on original series showed no significant sign of volatility. However, filter revealed distinct volatility, distinguishing uptrend downtrend fluctuations. Furthermore, premium detected some cases asymmetry degree source multifractality, whereas that failed to detect asymmetry. In conclusion, highly volatile market, improve investigation cryptocurrencies.