Journal of Information Technology Applications and Management
- Volume 25 Issue 4
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- Pages.157-169
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- 2018
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- 1598-6284(pISSN)
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- 2508-1209(eISSN)
DOI QR Code
Systematic Risk Analysis on Bitcoin Using GARCH Model
GARCH 모형을 활용한 비트코인에 대한 체계적 위험분석
- Lee, Jung Mann (Hoseo University, Department of Management of Digital Technology)
- Received : 2018.11.28
- Accepted : 2018.12.27
- Published : 2018.12.31
Abstract
The purpose of this study was to examine the volatility of bitcoin, diagnose if bitcoin are a systematic risk asset, and evaluate their effectiveness by estimating market beta representing systematic risk using GARCH (Generalized Auto Regressive Conditional Heteroskedastieity) model. First, the empirical results showed that the market beta of Bitcoin using the OLS model was estimated at 0.7745. Second, using GARCH (1, 2) model, the market beta of Bitcoin was estimated to be significant, and the effects of ARCH and GARCH were found to be significant over time, resulting in conditional volatility. Third, the estimated market beta of the GARCH (1, 2), AR (1)-GARCH (1), and MA (1)-GARCH (1, 2) models were also less than 1 at 0.8819, 0.8835, and 0.8775 respectively, showing that there is no systematic risk. Finally, in terms of efficiency, GARCH model was more efficient because the standard error of a market beta was less than that of the OLS model. Among the GARCH models, the MA (1)-GARCH (1, 2) model considering non-simultaneous transactions was estimated to be the most appropriate model.