Bitcoin, gold and the dollar - A GARCH volatility analysis

【Author】 Dyhrberg, Anne Haubo

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】This paper explores the financial asset capabilities of bitcoin using GARCH models. The initial model showed several similarities to gold and the dollar indicating hedging capabilities and advantages as a medium of exchange. The asymmetric GARCH showed that bitcoin may be useful in risk management and ideal for risk averse investors in anticipation of negative shocks to the market. Overall bitcoin has a place on the financial markets and in portfolio management as it can be classified as something in between gold and the American dollar on a scale from pure medium of exchange advantages to pure store of value advantages. (C) 2015 Elsevier Inc. All rights reserved.

【Keywords】Bitcoin; GARCH; Volatility

【发表时间】2016 FEB

【收录时间】2022-01-02

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