This article investigates the excess volatility in Bitcoin prices using an unbiased extreme value volatility estimator. We capture the time-varying nature of the excess volatility using bootstrap, multi-horizon, sub-sampling and rolling-window approaches. We observe that Bitcoin price changes are almost efficient. Although Bitcoin prices exhibit high volatility and show signs of excess volatility for a few periods, it is decreasing over time. After controlling for the outliers, we also notice that the Bitcoin market shows signs of increasing maturity. Overall, Bitcoin prices show a sign of increasing efficiency with decreasing volatility. Our findings have implications for investors making investment decisions and for regulators making policy choices.

本文使用无偏极值波动率估计量来调查比特币价格的过度波动。我们使用自举，多水平，子采样和滚动窗口方法来捕获过度波动的时变性质。我们观察到比特币价格变化几乎是有效的。尽管比特币价格表现出高波动性，并在短时期内显示出过度波动的迹象，但随着时间的推移，它在下降。在控制了异常值之后，我们还注意到，比特币市场显示出成熟度增加的迹象。总体而言，比特币价格显示出随着波动性降低效率提高的迹象。我们的发现对投资者做出投资决策和监管机构做出政策选择具有重要意义。