On the factors of Bitcoin’s value at risk

Abstract This study investigates the factors of Bitcoin’s tail risk, quantified by Value at Risk (VaR). Extending the conditional autoregressive VaR model proposed by Engle and Manganelli (2004), I examine 30 potential drivers of Bitcoin’s 5% and 1% VaR. For the 5% VaR, quantity variables, such as B...

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Autor principal:	Ji Ho Kwon
Formato:	article
Lenguaje:	EN
Publicado:	SpringerOpen 2021
Materias:	Bitcoin Value at risk CAViaR Public finance K4430-4675 Finance HG1-9999
Acceso en línea:	https://doaj.org/article/065c625fa7a74ef8b415965ddc8bbe9d
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spelling	oai:doaj.org-article:065c625fa7a74ef8b415965ddc8bbe9d2021-11-14T12:25:10ZOn the factors of Bitcoin’s value at risk10.1186/s40854-021-00297-32199-4730https://doaj.org/article/065c625fa7a74ef8b415965ddc8bbe9d2021-11-01T00:00:00Zhttps://doi.org/10.1186/s40854-021-00297-3https://doaj.org/toc/2199-4730Abstract This study investigates the factors of Bitcoin’s tail risk, quantified by Value at Risk (VaR). Extending the conditional autoregressive VaR model proposed by Engle and Manganelli (2004), I examine 30 potential drivers of Bitcoin’s 5% and 1% VaR. For the 5% VaR, quantity variables, such as Bitcoin trading volume and monetary policy rate, were positively significant, but these effects were attenuated when new samples were added. The 5% VaR responds positively to the Internet search index and negatively to the fluctuation of returns on commodity variables and the Chinese stock market index. For the 1% VaR, variables related to the macroeconomy play a key role. The consumer sentiment index exerts a strong positive effect on the 1% VaR. I also find that the 1% VaR has positive relationships with the US economic policy uncertainty index and the fluctuation of returns on the corporate bond index.Ji Ho KwonSpringerOpenarticleBitcoinValue at riskCAViaRPublic financeK4430-4675FinanceHG1-9999ENFinancial Innovation, Vol 7, Iss 1, Pp 1-31 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	Bitcoin Value at risk CAViaR Public finance K4430-4675 Finance HG1-9999
spellingShingle	Bitcoin Value at risk CAViaR Public finance K4430-4675 Finance HG1-9999 Ji Ho Kwon On the factors of Bitcoin’s value at risk
description	Abstract This study investigates the factors of Bitcoin’s tail risk, quantified by Value at Risk (VaR). Extending the conditional autoregressive VaR model proposed by Engle and Manganelli (2004), I examine 30 potential drivers of Bitcoin’s 5% and 1% VaR. For the 5% VaR, quantity variables, such as Bitcoin trading volume and monetary policy rate, were positively significant, but these effects were attenuated when new samples were added. The 5% VaR responds positively to the Internet search index and negatively to the fluctuation of returns on commodity variables and the Chinese stock market index. For the 1% VaR, variables related to the macroeconomy play a key role. The consumer sentiment index exerts a strong positive effect on the 1% VaR. I also find that the 1% VaR has positive relationships with the US economic policy uncertainty index and the fluctuation of returns on the corporate bond index.
format	article
author	Ji Ho Kwon
author_facet	Ji Ho Kwon
author_sort	Ji Ho Kwon
title	On the factors of Bitcoin’s value at risk
title_short	On the factors of Bitcoin’s value at risk
title_full	On the factors of Bitcoin’s value at risk
title_fullStr	On the factors of Bitcoin’s value at risk
title_full_unstemmed	On the factors of Bitcoin’s value at risk
title_sort	on the factors of bitcoin’s value at risk
publisher	SpringerOpen
publishDate	2021
url	https://doaj.org/article/065c625fa7a74ef8b415965ddc8bbe9d
work_keys_str_mv	AT jihokwon onthefactorsofbitcoinsvalueatrisk
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On the factors of Bitcoin’s value at risk

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