Bitcoin İle Değerli Metaller Arasında Dinamik Stokastik Volatilite Yayılımı

Yıl 2025, Cilt: 9 Sayı: 1, 53 - 72

Kudbeddin Şeker , Ahmet Gökçe Akpolat

https://doi.org/10.29216/ueip.1596577

Öz

Bitcoin’in 2008'de yaratılmasından beri güvenli liman, riskten korunma ve risk varlıklarının çeşitlendirilmesi gibi kripto para birimleri ve değerli metallerin paylaştığı çeşitli ortak özellikler geniş çapta tartışma konusu olmuştur. Bitcoin getirileri ile değerli metaller olan altın, bakır, gümüş ve platin getirileri arasındaki dinamik koşullu korelasyonları ve volatilite yayılımlarını analiz eden bu çalışmada DCC- GARCH modeli kullanılmıştır. Bitcoin getirileri ile değerli metaller olan altın, bakır, gümüş ve platin getirilerinin tüm modellerde volatilitelerinin kalıcı olduğu, incelenen tüm getiri serilerinde volatilite kümelenmesinin oluştuğu gözlemlenmiştir. Altın piyasasından Bitcoin piyasasına doğru tek yönlü volatilite aktarımına karşın, Bitcoin piyasasından bakır, gümüş ve platin piyasalarına doğru tek yönlü volatilite aktarımı bulunmuştur. Dinamik koşullu korelasyonlarda Bitcoin ile altın piyasalarında altın piyasası için, Bitcoin ve aakır piyasalarında Bitcoin ve aakır için anlamlı sonuçlar çıkmıştır. Bitcoin ve gümüş ile Bitcoin ve platin piyasaları arasında dinamik koşullu korelasyonlara rastlanmamıştır.

Anahtar Kelimeler

Kripto para belirsizliği, Değerli metal oynaklık tahmini, DCC-GARCH Modeli

Dynamic Stochastic Volatility Spillover Between Bitcoin and Precious Metals

Öz

Since its creation in 2008, Bitcoin has often been compared to precious metals due to their shared characteristics as safe havens, hedges, and risk diversification tools. This study uses the DCC-GARCH model to analyze dynamic conditional correlations and volatility spillovers between Bitcoin and the returns of gold, copper, silver, and platinum. The findings reveal persistent volatility and clustering in the returns of both Bitcoin and these metals. There is a one-way volatility spillover from gold to Bitcoin, and from Bitcoin to copper, silver, and platinum. Significant dynamic conditional correlations are observed between Bitcoin and both gold and copper, while no significant correlations are found with silver and platinum. These results provide valuable insights for portfolio diversification strategies and inform policymaker decisions in financial markets.

Anahtar Kelimeler

Cryptocurrency uncertainty, Precious metal volatility forecasting, DCC-GARCH Model

Kaynakça

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