Title Stylized facts, volatility dynamics and risk measures of cryptocurrencies /
Authors Bruzgė, Rasa ; Černevičienė, Jurgita ; Šapkauskienė, Alfreda ; Mačerinskienė, Aida ; Masteika, Saulius ; Driaunys, Kęstutis
DOI 10.3846/jbem.2023.19118
Full Text Download
Is Part of Journal of business economics and management.. Vilnius : Vilnius TECH. 2023, vol. 24, iss. 3, p. 527-550.. ISSN 1611-1699. eISSN 2029-4433
Keywords [eng] cryptocurrency ; risk measures ; volatility clustering ; stylized facts ; value-at-risk ; ex-pected shortfall
Abstract [eng] This study explores the stylized facts, volatility clustering, other highly irregular behaviour, and risk measures of cryptocurrencies’ returns. By analysing bitcoin, ripple, and ethereum daily data we establish evidence of strong dependencies among analysed cryptocurrencies. This paper provides new insights about cryptocurrency behaviour and the main measures of risk and detailed compara-tive analysis with tech-stocks. Comprehensive research on stylized facts confirmed high risk for both cryptocurrencies and tech-stocks with cryptocurrencies being even riskier. Empirical research find-ings are useful in developing dependence and risk strategies for investment and hedging purposes, especially during more volatile periods in the markets as there was confirmed existence of volatility clusters when high volatility periods are followed by low volatility periods. Sensitivity analysis and measures of Value-at-Risk (VaR) and Expected Shortfall (ES) show the amount of losses investors can expect in the worst case scenario. Our results confirm the existence of predictability, volatility clustering, and possibilities for arbitrage opportunities. Findings could be beneficial for investors and policymakers as well as for scientific purposes as findings give us a better understanding of the behaviour of cryptocurrencies.
Published Vilnius : Vilnius TECH
Type Journal article
Language English
Publication date 2023
CC license CC license description