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Value-at-risk and related measures for the Bitcoin

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  • Stavros Stavroyiannis

Abstract

Purpose - The purpose of this paper is to examine the value-at-risk and related measures for the Bitcoin and to compare the findings with Standard and Poor’s SP500 Index, and the gold spot price time series. Design/methodology/approach - A GJR-GARCH model has been implemented, in which the residuals follow the standardized Pearson type-IV distribution. A large variety of value-at-risk measures and backtesting criteria are implemented. Findings - Bitcoin is a highly volatile currency violating the value-at-risk measures more than the other assets. With respect to the Basel Committee on Banking Supervision Accords, a Bitcoin investor is subjected to higher capital requirements and capital allocation ratio. Practical implications - The risk of an investor holding Bitcoins is measured and quantified via the regulatory framework practices. Originality/value - This paper is the first comprehensive approach to the risk properties of Bitcoin.

Suggested Citation

  • Stavros Stavroyiannis, 2018. "Value-at-risk and related measures for the Bitcoin," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 19(2), pages 127-136, March.
    • Handle: RePEc:eme:jrfpps:jrf-07-2017-0115
    DOI: 10.1108/JRF-07-2017-0115
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