Hedging bitcoin with other financial assets

【Author】 Pal, Debdatta; Mitra, Subrata K.

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】We compute optimal hedge ratios between bitcoin and other financial assets by using conditional volatility estimates of different GARCH models for a period over January 03, 2011 to February 19, 2018. Gold is found to provide a better hedge against bitcoin. Following generalized orthogonal GARCH, which offers maximum hedging effectiveness, U.S.$1 long of bitcoin could to be hedged with 70 cents short of gold. Our findings are fairly robust to alternate specifications.

【Keywords】Hedging; Bitcoin; GARCH

【发表时间】2019 SEP

【收录时间】2022-01-02

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