比特币对其他领先加密货币的持续性和波动性溢出:BEKK-GARCH分析

IF 2.3 Q3 REGIONAL & URBAN PLANNING Foresight Pub Date : 2023-07-18 DOI:10.1108/fs-09-2022-0100
Parichat Sinlapates, Surachai Chancharat
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引用次数: 0

摘要

目的本文旨在研究比特币和其他领先加密货币(即币安美元、BNB、Cardano、Dogecoin、以太坊、Polkadot、Polygon、Solana、Tether、美元币和XRP.Design/methology/approach)之间波动性传输的影响。多元BEKK-GARCH模型用于2017年1月1日至2023年3月31日的每日数据集。该数据集被全面分析,也是新冠肺炎疫情期间。发现研究表明,虽然加密货币价格的波动性受到其自身历史冲击和波动性的影响,但有证据表明,比特币和其他著名加密货币之间存在冲击传播效应。此外,作者确定了波动性在所有11对中的溢出效应,并提供证据表明,存在与不同时间常数的条件相关性,并且在整个和新冠肺炎爆发期都主要为正。实际含义这些发现将有助于市场专家避免传统资产的损失。为了制定最佳的风险管理和对冲策略,企业可能会利用这些信息建立资产组合或个性化支付方式。投资者和投资组合经理使用这些数据可以帮助开发投资机会、风险保险计划或对冲策略,以管理金融投资组合。独创性/价值据作者所知,使用BEKK-GARCH模型来研究比特币和其他11种顶级加密货币之间波动溢出的影响之前没有记录。
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Persistence and volatility spillovers of Bitcoin to other leading cryptocurrencies: a BEKK-GARCH analysis
Purpose This paper aims to investigate the effects of volatility transmission among Bitcoin and other leading cryptocurrencies, namely, Binance USD, BNB, Cardano, Dogecoin, Ethereum, Polkadot, Polygon, Solana, Tether, USD Coin and XRP. Design/methodology/approach The multivariate BEKK-GARCH model is used with the daily data set from 1 January 2017 to 31 March 2023. The data set is analysed in its entirety and is also the COVID-19 epidemic period. Findings The study reveals that while the volatility of cryptocurrency prices is influenced by their own historical shocks and volatility, there is proof of the effects shock transmission among Bitcoin and other notable cryptocurrencies. Furthermore, the authors identify the spillover effects of volatility among all 11 pairs and provide evidence that conditional correlations with varying time constants are present, and predominantly positive for both the entire and COVID-19 outbreak periods. Practical implications The findings will be helpful to market experts who want to avoid losses in traditional assets. To develop the best risk management and hedging strategies, businesses might use the information to build asset portfolios or personalise payment methods. The use of such data by investors and portfolio managers could aid in the development of investment opportunities, risk insurance plans or hedging strategies for the management of financial portfolios. Originality/value To the best of the authors’ knowledge, the use of the BEKK-GARCH model for examining the effects of volatility spillover among Bitcoin and the other eleven top cryptocurrencies has not been previously documented.
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来源期刊
Foresight
Foresight REGIONAL & URBAN PLANNING-
CiteScore
5.10
自引率
5.00%
发文量
45
期刊介绍: ■Social, political and economic science ■Sustainable development ■Horizon scanning ■Scientific and Technological Change and its implications for society and policy ■Management of Uncertainty, Complexity and Risk ■Foresight methodology, tools and techniques
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