Research Article

MODELING, FORECASTING THE CRYPTOCURRENCY MARKET VOLATILITY AND VALUE AT RISK DYNAMICS OF BITCOIN

Volume: 22 Number: 2 June 30, 2020
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MODELING, FORECASTING THE CRYPTOCURRENCY MARKET VOLATILITY AND VALUE AT RISK DYNAMICS OF BITCOIN

Abstract

Bitcoin volatility was investigated with various symmetric and asymmetric models in the study. In addition, value at risk (VaR) was calculated by using the Kupiec LR test and the error prediction performances of the models were compared. As a result of the work, the long memory of volatility in Bitcoin returns was found. It means the cryptocurrency market is not efficient. According to the FIAPARCH asymmetric model, it was determined that positive information shocks reaching the Bitcoin market increased volatility more than negative information shocks. Comparing the error prediction performance of the models by calculating VaR, the HYGARCH model prediction results were found to be superior to other models included in the study. Thus, it was determined that the most suitable model in predicting the volatility, namely the risk of Bitcoin in short and long positions for those who consider investing in Bitcoin, is the asymmetric model HYGARCH.

Keywords

References

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  4. Balıbey, M. and Türkyılmaz, S. (2014). “Value-at-Risk Analysis in the Presence of Asymmetry and Long Memory: The Case of Turkish Stock Market”, International Journal of Economics and Financial Issues, 4(4): 836-848.
  5. Baur, D. G. and Dimpfl, T. (2018). “Asymmetric Volatility in Cryptocurrencies”, Economics Letters, 173: 148-151.
  6. Bollerslev, T. and Mikkelsen, H. O. 1996. “Modeling and Pricing Long Memory in Stock Market Volatility”, Journal of Econometrics, 73(1): 151-184.
  7. Bouoiyour, J. and Selmi, R. 2016. “Bitcoin: A Beginning of A New Phase?”, Bulletin, 36(3): 1430-1440.
  8. Bouri, E., Azzi, G. and Dyhrberg, A. H. 2016. “On the Return-Volatility Relationship in the Bitcoin Market around the Price Crash of 2013”, Economics: Open-Access, Open-Assessment E-Journal, Economics Discussion Papers, No: 2016-41.

Details

Primary Language

English

Subjects

Business Administration

Journal Section

Research Article

Authors

Publication Date

June 30, 2020

Submission Date

April 25, 2020

Acceptance Date

June 8, 2020

Published in Issue

Year 2020 Volume: 22 Number: 2

DOI

https://doi.org/10.31460/mbdd.726952

IZ

https://izlik.org/JA94XA56NR

Cite

RIS / Bibtex
APA
Akkuş, H. T., & Çelik, İ. (2020). MODELING, FORECASTING THE CRYPTOCURRENCY MARKET VOLATILITY AND VALUE AT RISK DYNAMICS OF BITCOIN. Muhasebe Bilim Dünyası Dergisi, 22(2), 296-312. https://doi.org/10.31460/mbdd.726952
AMA
1.Akkuş HT, Çelik İ. MODELING, FORECASTING THE CRYPTOCURRENCY MARKET VOLATILITY AND VALUE AT RISK DYNAMICS OF BITCOIN. MODAV-MBDD. 2020;22(2):296-312. doi:10.31460/mbdd.726952
Chicago
Akkuş, Hilmi Tunahan, and İsmail Çelik. 2020. “MODELING, FORECASTING THE CRYPTOCURRENCY MARKET VOLATILITY AND VALUE AT RISK DYNAMICS OF BITCOIN”. Muhasebe Bilim Dünyası Dergisi 22 (2): 296-312. https://doi.org/10.31460/mbdd.726952.
EndNote
Akkuş HT, Çelik İ (June 1, 2020) MODELING, FORECASTING THE CRYPTOCURRENCY MARKET VOLATILITY AND VALUE AT RISK DYNAMICS OF BITCOIN. Muhasebe Bilim Dünyası Dergisi 22 2 296–312.
IEEE
[1]H. T. Akkuş and İ. Çelik, “MODELING, FORECASTING THE CRYPTOCURRENCY MARKET VOLATILITY AND VALUE AT RISK DYNAMICS OF BITCOIN”, MODAV-MBDD, vol. 22, no. 2, pp. 296–312, June 2020, doi: 10.31460/mbdd.726952.
ISNAD
Akkuş, Hilmi Tunahan - Çelik, İsmail. “MODELING, FORECASTING THE CRYPTOCURRENCY MARKET VOLATILITY AND VALUE AT RISK DYNAMICS OF BITCOIN”. Muhasebe Bilim Dünyası Dergisi 22/2 (June 1, 2020): 296-312. https://doi.org/10.31460/mbdd.726952.
JAMA
1.Akkuş HT, Çelik İ. MODELING, FORECASTING THE CRYPTOCURRENCY MARKET VOLATILITY AND VALUE AT RISK DYNAMICS OF BITCOIN. MODAV-MBDD. 2020;22:296–312.
MLA
Akkuş, Hilmi Tunahan, and İsmail Çelik. “MODELING, FORECASTING THE CRYPTOCURRENCY MARKET VOLATILITY AND VALUE AT RISK DYNAMICS OF BITCOIN”. Muhasebe Bilim Dünyası Dergisi, vol. 22, no. 2, June 2020, pp. 296-12, doi:10.31460/mbdd.726952.
Vancouver
1.Hilmi Tunahan Akkuş, İsmail Çelik. MODELING, FORECASTING THE CRYPTOCURRENCY MARKET VOLATILITY AND VALUE AT RISK DYNAMICS OF BITCOIN. MODAV-MBDD. 2020 Jun. 1;22(2):296-312. doi:10.31460/mbdd.726952

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