Title: Estimating bitcoin and traded asset classes volatility using GARCH model

Authors: Timcy Sachdeva

Addresses: Vivekananda School of Business Studies, Vivekananda Institute of Professional Studies, Pitampura, Delhi-110034, India

Abstract: Bitcoin is the world's first cryptocurrency which has largest market capitalization. The study aims to analyze the risk measures for the bitcoin and comparing with tradable asset classes that include the Standard and Poor's BSE 500, USD, Euro, GBP and the Gold future prices. The study uses the GARCH models to identify the components of world economies that bitcoin is sensitive too as against variables that impact the global financial prudence. The empirical results of the study reveal that against dollar and euro exchange rates bitcoin returns are more sensitive. Bitcoin can be used together with gold to diversify or eliminate explicit market risks. The study presents reasonable justification over the development and relationship between bitcoin and different traded assets that pose new challenges before the global investors. The implication of this paper for the strategic policy makers shows the sensitivity among tradeable assets.

Keywords: bitcoin; BTC; traded asset classes; volatility; hedging; GARCH model; FinTech; gold.

DOI: 10.1504/IJEF.2021.115637

International Journal of Electronic Finance, 2021 Vol.10 No.3, pp.131 - 144

Received: 15 Jun 2020
Accepted: 29 Aug 2020
Published online: 15 Jun 2021 *

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