MODELING, FORECASTING THE CRYPTOCURRENCY MARKET VOLATILITY AND VALUE AT RISK DYNAMICS OF BITCOIN
Yıl: 2020 Cilt: 22 Sayı: 2 Sayfa Aralığı: 296 - 312 Metin Dili: İngilizce DOI: 10.31460/mbdd.726952 İndeks Tarihi: 01-04-2021
MODELING, FORECASTING THE CRYPTOCURRENCY MARKET VOLATILITY AND VALUE AT RISK DYNAMICS OF BITCOIN
Öz: Bitcoin volatility was investigated with various symmetric and asymmetric models in the study. In addition,value at risk (VaR) was calculated by using the Kupiec LR test and the error prediction performances of the modelswere compared. As a result of the work, the long memory of volatility in Bitcoin returns was found. It means thecryptocurrency market is not efficient. According to the FIAPARCH asymmetric model, it was determined thatpositive information shocks reaching the Bitcoin market increased volatility more than negative informationshocks. Comparing the error prediction performance of the models by calculating VaR, the HYGARCH modelprediction results were found to be superior to other models included in the study. Thus, it was determined that themost suitable model in predicting the volatility, namely the risk of Bitcoin in short and long positions for thosewho consider investing in Bitcoin, is the asymmetric model HYGARCH.
Anahtar Kelime: KRİPTOPARA PİYASA VOLATİLİTESİNİN MODELLENMESİ, TAHMİNİ VE BİTCOİN’İN RİSKE MARUZ DEĞER DİNAMİKLERİ
Öz: Bu çalışmada Bitcoin volatilitesi, çeşitli simetrik ve asimetrik modeller yardımıyla araştırılmaktadır. Bunun yanında Kupiec LR testi yardımıyla riske maruz değer (RMD) hesaplanarak modellerin hata öngörü performansları karşılaştırılmaktadır. Çalışma sonucunda Bitcoin getiri volatilitesinde uzun hafızanın varlığı tespit edilmiştir. Bu durum, kripto para piyasasının etkin olmadığı anlamına gelmektedir. Ayrıca FIAPARCH asimetrik model sonucuna göre Bitcoin piyasasına ulaşan pozitif bilgi şoklarının negatif bilgi şoklarına kıyasla volatiliteyi daha çok artırdığı belirlenmiştir. RMD hesaplanarak modellerin hata öngörü performansları karşılaştırıldığında, HYGARCH model tahmin sonuçlarının çalışma kapsamındaki diğer modellerden daha üstün olduğu belirlenmiştir. Böylece Bitcoin’e yatırım yapmayı düşünenlerin kısa ve uzun pozisyonlar için Bitcoin’in volatilitesini yani riskini tahmin etmede en uygun modelin asimetrik bir model olan HYGARCH modeli olduğu tespit edilmiştir.
Anahtar Kelime: Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
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| APA | AKKUŞ H, Çelik i (2020). MODELING, FORECASTING THE CRYPTOCURRENCY MARKET VOLATILITY AND VALUE AT RISK DYNAMICS OF BITCOIN. , 296 - 312. 10.31460/mbdd.726952 |
| Chicago | AKKUŞ HİLMİ TUNAHAN,Çelik ismail MODELING, FORECASTING THE CRYPTOCURRENCY MARKET VOLATILITY AND VALUE AT RISK DYNAMICS OF BITCOIN. (2020): 296 - 312. 10.31460/mbdd.726952 |
| MLA | AKKUŞ HİLMİ TUNAHAN,Çelik ismail MODELING, FORECASTING THE CRYPTOCURRENCY MARKET VOLATILITY AND VALUE AT RISK DYNAMICS OF BITCOIN. , 2020, ss.296 - 312. 10.31460/mbdd.726952 |
| AMA | AKKUŞ H,Çelik i MODELING, FORECASTING THE CRYPTOCURRENCY MARKET VOLATILITY AND VALUE AT RISK DYNAMICS OF BITCOIN. . 2020; 296 - 312. 10.31460/mbdd.726952 |
| Vancouver | AKKUŞ H,Çelik i MODELING, FORECASTING THE CRYPTOCURRENCY MARKET VOLATILITY AND VALUE AT RISK DYNAMICS OF BITCOIN. . 2020; 296 - 312. 10.31460/mbdd.726952 |
| IEEE | AKKUŞ H,Çelik i "MODELING, FORECASTING THE CRYPTOCURRENCY MARKET VOLATILITY AND VALUE AT RISK DYNAMICS OF BITCOIN." , ss.296 - 312, 2020. 10.31460/mbdd.726952 |
| ISNAD | AKKUŞ, HİLMİ TUNAHAN - Çelik, ismail. "MODELING, FORECASTING THE CRYPTOCURRENCY MARKET VOLATILITY AND VALUE AT RISK DYNAMICS OF BITCOIN". (2020), 296-312. https://doi.org/10.31460/mbdd.726952 |
| APA | AKKUŞ H, Çelik i (2020). MODELING, FORECASTING THE CRYPTOCURRENCY MARKET VOLATILITY AND VALUE AT RISK DYNAMICS OF BITCOIN. Muhasebe Bilim Dünyası Dergisi, 22(2), 296 - 312. 10.31460/mbdd.726952 |
| Chicago | AKKUŞ HİLMİ TUNAHAN,Çelik ismail MODELING, FORECASTING THE CRYPTOCURRENCY MARKET VOLATILITY AND VALUE AT RISK DYNAMICS OF BITCOIN. Muhasebe Bilim Dünyası Dergisi 22, no.2 (2020): 296 - 312. 10.31460/mbdd.726952 |
| MLA | AKKUŞ HİLMİ TUNAHAN,Çelik ismail MODELING, FORECASTING THE CRYPTOCURRENCY MARKET VOLATILITY AND VALUE AT RISK DYNAMICS OF BITCOIN. Muhasebe Bilim Dünyası Dergisi, vol.22, no.2, 2020, ss.296 - 312. 10.31460/mbdd.726952 |
| AMA | AKKUŞ H,Çelik i MODELING, FORECASTING THE CRYPTOCURRENCY MARKET VOLATILITY AND VALUE AT RISK DYNAMICS OF BITCOIN. Muhasebe Bilim Dünyası Dergisi. 2020; 22(2): 296 - 312. 10.31460/mbdd.726952 |
| Vancouver | AKKUŞ H,Çelik i MODELING, FORECASTING THE CRYPTOCURRENCY MARKET VOLATILITY AND VALUE AT RISK DYNAMICS OF BITCOIN. Muhasebe Bilim Dünyası Dergisi. 2020; 22(2): 296 - 312. 10.31460/mbdd.726952 |
| IEEE | AKKUŞ H,Çelik i "MODELING, FORECASTING THE CRYPTOCURRENCY MARKET VOLATILITY AND VALUE AT RISK DYNAMICS OF BITCOIN." Muhasebe Bilim Dünyası Dergisi, 22, ss.296 - 312, 2020. 10.31460/mbdd.726952 |
| ISNAD | AKKUŞ, HİLMİ TUNAHAN - Çelik, ismail. "MODELING, FORECASTING THE CRYPTOCURRENCY MARKET VOLATILITY AND VALUE AT RISK DYNAMICS OF BITCOIN". Muhasebe Bilim Dünyası Dergisi 22/2 (2020), 296-312. https://doi.org/10.31460/mbdd.726952 |
