dc.creator | Cebrián Hernández, Ángeles | es |
dc.creator | Jiménez Rodríguez, Enrique | es |
dc.date.accessioned | 2021-02-04T11:12:38Z | |
dc.date.available | 2021-02-04T11:12:38Z | |
dc.date.issued | 2021 | |
dc.identifier.citation | Cebrián Hernández, Á. y Jiménez Rodríguez, E. (2021). Modeling of the Bitcoin volatility through key financial environment variables: an application of conditional correlation MGARCH models. Mathematics, 9 (3), Article 267. | |
dc.identifier.issn | 2227-7390 | es |
dc.identifier.uri | https://hdl.handle.net/11441/104596 | |
dc.description.abstract | Since the launch of Bitcoin, there has been a lot of controversy surrounding what asset
class it is. Several authors recognize the potential of cryptocurrencies but also certain deviations
with respect to the functions of a conventional currency. Instead, Bitcoin’s diversifying factor
and its high return potential have generated the attention of portfolio managers. In this context,
understanding how its volatility is explained is a critical element of investor decision-making.
By modeling the volatility of classic assets, nonlinear models such as Generalized Autoregressive
Conditional Heteroskedasticity (GARCH) offer suitable results. Therefore, taking GARCH(1,1) as
a reference point, the main aim of this study is to model and assess the relationship between the
Bitcoin volatility and key financial environment variables through a Conditional Correlation (CC)
Multivariate GARCH (MGARCH) approach. For this, several commodities, exchange rates, stock
market indices, and company stocks linked to cryptocurrencies have been tested. The results obtained
show certain heterogeneity in the fit of the different variables, highlighting the uncorrelation with
respect to traditional safe haven assets such as gold and oil. Focusing on the CC-MGARCH model,
a better behavior of the dynamic conditional correlation is found compared to the constant. | es |
dc.format | application/pdf | es |
dc.format.extent | 16 p. | es |
dc.language.iso | eng | es |
dc.publisher | MDPI | es |
dc.relation.ispartof | Mathematics, 9 (3), Article 267. | |
dc.rights | Attribution-NonCommercial-NoDerivatives 4.0 Internacional | * |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/ | * |
dc.subject | Bitcoin | es |
dc.subject | Volatility | es |
dc.subject | Key financial environment variables | es |
dc.subject | Multivariate GARCH models | es |
dc.subject | Constant conditional correlation | es |
dc.subject | Dynamic conditional correlation | es |
dc.subject | Varying conditional correlation | es |
dc.title | Modeling of the Bitcoin volatility through key financial environment variables: an application of conditional correlation MGARCH models | es |
dc.type | info:eu-repo/semantics/article | es |
dcterms.identifier | https://ror.org/03yxnpp24 | |
dc.type.version | info:eu-repo/semantics/publishedVersion | es |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | es |
dc.contributor.affiliation | Universidad de Sevilla. Departamento de Economía Aplicada I | es |
dc.relation.publisherversion | https://doi.org/10.3390/math9030267 | es |
dc.identifier.doi | 10.3390/math9030267 | es |
dc.journaltitle | Mathematics | es |
dc.publication.volumen | 9 | es |
dc.publication.issue | 3 | es |
dc.publication.initialPage | 267 | es |