GARCH-Class Analysis of Bitcoin—A Comparison with Gold

DOI

10.2991/978-94-6463-030-5_91How to use a DOI?

Keywords

Bitcoin; APARCH-M; Leverage Effect; BEKK; Dynamic Correlation

Abstract

Bitcoin establishes itself as an investment asset and is often named the New Gold. This study, however, shows that the two assets are different in univariate and multivariate aspects. First, we construct GARCH, APARCH and APARCH-in-Mean models to analyze and compare conditional variance properties of Bitcoin and Gold, and find Bitcoin does not have the significant inverse leverage effect as Gold. Then we apply the BEKK-GARCH model to estimate time-varying conditional correlations between Bitcoin and Gold with other major market indexes. The results show that Bitcoin can not hedge the market risk, especially when a crash occurs. So we conclude that Bitcoin and Gold feature fundamentally different properties as assets and linkages to equity markets.

Copyright

© 2023 The Author(s)

Open Access

Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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TY  - CONF
AU  - Weibing Shen
PY  - 2022
DA  - 2022/12/20
TI  - GARCH-Class Analysis of Bitcoin—A Comparison with Gold
BT  - Proceedings of the 2022 International Conference on Bigdata Blockchain and Economy Management (ICBBEM 2022)
PB  - Atlantis Press
SP  - 926
EP  - 935
SN  - 2589-4919
UR  - https://doi.org/10.2991/978-94-6463-030-5_91
DO  - 10.2991/978-94-6463-030-5_91
ID  - Shen2022
ER  -