Journal of Information Technology Applications and Management

  • 제25권4호
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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)
한국데이터전략학회 (Korea Data Strategy Society)
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GARCH 모형을 활용한 비트코인에 대한 체계적 위험분석

Systematic Risk Analysis on Bitcoin Using GARCH Model

  • Lee, Jung Mann (Hoseo University, Department of Management of Digital Technology)
  • 투고 : 2018.11.28
  • 심사 : 2018.12.27
  • 발행 : 2018.12.31
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초록

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.

키워드

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Volatility Trend of Crypto-Currency Returns

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Conditional Variance Trend of Crypto-Currency Returns

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Log Transformation and ACF and PACF of First Differentiated Bitcoin

Basic Statistics

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ACF and PACF

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ADF(Augmented Dickey-Fuller) Test

DOTSBL_2018_v25n4_157_t0003.png 이미지

ARCH Test

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Values of Akike and Schwarz Information Criterion

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Estimation of Systematic Risk using OLS and Conditional Variance Model

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Estimation of Systematic Risk using GARCH Model(Non-Simultaneous Transaction)

DOTSBL_2018_v25n4_157_t0007.png 이미지

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