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

Kód výsledku v 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>

Výsledek na webu

<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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Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

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

Popis výsledku anglicky

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

Druh

J_ost - Ostatní články v recenzovaných periodicích

CEP obor

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OECD FORD obor

50204 - Business and management

Projekt

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Návaznosti

V - Vyzkumna aktivita podporovana z jinych verejnych zdroju

Rok uplatnění

2021

Kód důvěrnosti údajů

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

Název periodika

International Journal of Entrepreneurial Knowledge

ISSN

2336-2952

e-ISSN

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Svazek periodika

2

Číslo periodika v rámci svazku

9

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

22

Strana od-do

1-22

Kód UT WoS článku

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EID výsledku v databázi Scopus

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