Bitcoin as an Investment and Hedge Alternative. A DCC MGARCH Model Analysis
نویسندگان
چکیده
Volatility and investor sentiment have been factors for the slow adoption rate of Bitcoin (BTC) that was first recognized in 2008 as a potential store value, investment vehicle hedge alternative to gold during recession. The purpose this applied mathematics study will use multivariate DCC GARCH model. holds its ground volatility. This examines an well major stock index. To perform research explore viability gold, authors conducted model analysis. findings paper confirm Bitcoin’s cyclical performance between volatility adoption. give strong new digital currency, medium exchange, unit account incentivize further by theorists, scholars examiners. significance analysis allow unstoppable, incorruptible, uncontrollable vehicle, without governmental or institutional intervention. contributes comparing contrasting stability based on return levels each indexes traded with BTC (based fiat currencies) gold.
منابع مشابه
Explaining hedge fund investment styles by loss aversion: A rational alternative
Recent research reveals that hedge fund returns exhibit a range of different, possibly non-linear pay-off patterns. It is difficult to qualify all these patterns simultaneously as being rational in a traditional framework for optimal financial decision making. In this paper we present a simple model based on loss aversion that can accommodate for all of these pay-off structures in one unifying ...
متن کاملDevelopment of an Analytical Framework for Hedge Fund Investment∗
This research attempts to develop an analytical framework for hedge fund investment. Various issues related to the hedge fund investment have been addressed. This paper focuses on three distinct areas of hedge fund research, namely, bias in hedge fund data, the classification of hedge funds, and performance attribution of hedge funds. All studies, reported in this paper, have been carried out u...
متن کاملGold as an Inflation Hedge?*
This paper attempts to reconcile an apparent contradiction between short-run and long-run movements in the price of gold. A theoretical model is developed that suggests a set of the conditions that would have to be satisfied for the price of gold to rise over time at the general rate of inflation and hence be an effective long-run hedge against inflation. The model also demonstrates that short-...
متن کاملVirtual model analysis as an alternative approach to plaster model analysis: reliability and validity.
The objective of this study was to assess the feasibility of virtual models as an alternative to orthodontic plaster models. Virtual dental models (obtained from OrthoCAD) and corresponding plaster models of 80 patients in the permanent dentition were randomly selected from patients seeking orthodontic care. Inter-examiner error was assessed by measuring tooth width, overjet, overbite, intermol...
متن کاملHedge fund replication, alternative beta and benchmarking
In this Russell Research Report, we explore the potential for replication in the context of the evolution of the hedge fund industry and the investment industry as a whole. Our key theme is the importance of alternative beta indexes, both for replication and as benchmarks for the hedge fund industry. With the term alternative beta, we refer to systematic factors beyond those that can today be t...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Risks
سال: 2021
ISSN: ['2227-9091']
DOI: https://doi.org/10.3390/risks9090154