Naimy Viviane, Haddad Omar, Fernández-Avilés Gema, El Khoury Rim
Department of Accounting and Finance, Faculty of Business Administration and Economics, Notre Dame University - Louaize, Zouk Mosbeh, Lebanon.
Faculty of Law and Social Sciences, University of Castilla-La Mancha, Toledo, Spain.
PLoS One. 2021 Jan 29;16(1):e0245904. doi: 10.1371/journal.pone.0245904. eCollection 2021.
This paper provides a thorough overview and further clarification surrounding the volatility behavior of the major six cryptocurrencies (Bitcoin, Ripple, Litecoin, Monero, Dash and Dogecoin) with respect to world currencies (Euro, British Pound, Canadian Dollar, Australian Dollar, Swiss Franc and the Japanese Yen), the relative performance of diverse GARCH-type specifications namely the SGARCH, IGARCH (1,1), EGARCH (1,1), GJR-GARCH (1,1), APARCH (1,1), TGARCH (1,1) and CGARCH (1,1), and the forecasting performance of the Value at Risk measure. The sampled period extends from October 13th 2015 till November 18th 2019. The findings evidenced the superiority of the IGARCH model, in both the in-sample and the out-of-sample contexts, when it deals with forecasting the volatility of world currencies, namely the British Pound, Canadian Dollar, Australian Dollar, Swiss Franc and the Japanese Yen. The CGARCH alternative modeled the Euro almost perfectly during both periods. Advanced GARCH models better depicted asymmetries in cryptocurrencies' volatility and revealed persistence and "intensifying" levels in their volatility. The IGARCH was the best performing model for Monero. As for the remaining cryptocurrencies, the GJR-GARCH model proved to be superior during the in-sample period while the CGARCH and TGARCH specifications were the optimal ones in the out-of-sample interval. The VaR forecasting performance is enhanced with the use of the asymmetric GARCH models. The VaR results provided a very accurate measure in determining the level of downside risk exposing the selected exchange currencies at all confidence levels. However, the outcomes were far from being uniform for the selected cryptocurrencies: convincing for Dash and Dogcoin, acceptable for Litecoin and Monero and unconvincing for Bitcoin and Ripple, where the (optimal) model was not rejected only at the 99% confidence level.
本文全面概述并进一步阐明了六大主流加密货币(比特币、瑞波币、莱特币、门罗币、达世币和狗狗币)相对于世界货币(欧元、英镑、加元、澳元、瑞士法郎和日元)的波动行为、多种广义自回归条件异方差(GARCH)类模型(即标准GARCH、积分GARCH(1,1)、指数GARCH(1,1)、GJR - GARCH(1,1)、不对称幂次GARCH(1,1)、阈值GARCH(1,1)和成分GARCH(1,1))的相对表现,以及风险价值(VaR)度量的预测性能。采样期从2015年10月13日至2019年11月18日。研究结果表明,在样本内和样本外的情况下,当处理世界货币(即英镑、加元、澳元、瑞士法郎和日元)的波动率预测时,积分GARCH模型具有优越性。成分GARCH模型在两个时期内几乎完美地模拟了欧元。先进的GARCH模型更好地刻画了加密货币波动率中的不对称性,并揭示了其波动率的持续性和“强化”水平。积分GARCH是门罗币表现最佳的模型。至于其余加密货币,GJR - GARCH模型在样本期内表现优越,而成分GARCH和阈值GARCH模型在样本外区间是最优的。使用不对称GARCH模型可提高VaR预测性能。VaR结果在确定所有置信水平下所选外汇货币的下行风险水平时提供了非常准确的度量。然而,所选加密货币的结果远非一致:达世币和狗狗币令人信服,莱特币和门罗币尚可接受,比特币和瑞波币则缺乏说服力,其中(最优)模型仅在99%置信水平下未被拒绝。