MEASURING VALUE AT RISK USING GARCH MODEL - EVIDENCE FROM THE CRYPTOCURRENCY MARKET

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F70883521%3A28120%2F21%3A63537578" target="_blank" >RIV/70883521:28120/21:63537578 - isvavai.cz</a>

Result on the web

<a href="https://www.ijek.org/index.php/IJEK/article/view/133/126" target="_blank" >https://www.ijek.org/index.php/IJEK/article/view/133/126</a>

DOI - Digital Object Identifier

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Result language

angličtina

Original language name

MEASURING VALUE AT RISK USING GARCH MODEL - EVIDENCE FROM THE CRYPTOCURRENCY MARKET

Original language description

There is a growing interest in the activities of the crypto market by various stakeholders. These stakeholders generally include investors, entrepreneurs, governments, fund managers, climate activists, institutional managers, employees with surplus funds, and crypto miners. This study aims to investigate the accuracy of the GARCH models for measuring and estimating Value-at-risk (VaR) using the Cryptocurrency index for future investment and managerial decision making. Because of this, the present study uses the top 30 Cryptocurrencies index in terms of Market capitalization excluding stable coins to determine the best GARCH models. Many entrepreneurs, institutional managers, fund managers, and other stakeholders have recently included cryptocurrency in their investment portfolio because of the increase in transactions and high returns growth in the global financial market with its associated high returns and volatility. Information communication technology has paved the way for such activities in the global markets. The daily data frequency was applied because of the availability of the data. The empirical analysis has been carried out for the period from January 2017 to December 2020 for a total of 1461observation. The returns volatility is estimated using SGARCH and EGARCH models. The findings evidenced that, using both normal distribution and Student t distribution, EGARCH provides a better measure and estimate than SGARCH concerning high persistence and volatility. Against this background, the present study also examined Backtesting to estimate Value at Risk

Czech name

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Czech description

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Type

J_ost - Miscellaneous article in a specialist periodical

CEP classification

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OECD FORD branch

50204 - Business and management

Project

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Continuities

V - Vyzkumna aktivita podporovana z jinych verejnych zdroju

Publication year

2021

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

International Journal of Entrepreneurial Knowledge

ISSN

2336-2952

e-ISSN

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Volume of the periodical

2

Issue of the periodical within the volume

9

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

22

Pages from-to

1-22

UT code for WoS article

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EID of the result in the Scopus database

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