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Value-at-risk and related measures for the Bitcoin

Stavros Stavroyiannis (Department of Accounting and Finance, Technological Educational Institute of Peloponnese, Kalamata, Greece)

Journal of Risk Finance

ISSN: 1526-5943

Article publication date: 19 March 2018

2149

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.

Keywords

Acknowledgements

This paper forms part of a special section “Digital currencies”, guest edited by Paolo Tasca.

Citation

Stavroyiannis, S. (2018), "Value-at-risk and related measures for the Bitcoin", Journal of Risk Finance, Vol. 19 No. 2, pp. 127-136. https://doi.org/10.1108/JRF-07-2017-0115

Publisher

:

Emerald Publishing Limited

Copyright © 2018, Emerald Publishing Limited

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