TY  - JOUR
TI  - MODELING, FORECASTING THE CRYPTOCURRENCY MARKET VOLATILITY AND VALUE AT RISK DYNAMICS OF BITCOIN
AB  - 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.
AU  - AKKUŞ, HİLMİ TUNAHAN
AU  - Çelik, ismail
DO  - 10.31460/mbdd.726952
PY  - 2020
JO  - Muhasebe Bilim Dünyası Dergisi
VL  - 22
IS  - 2
SN  - 1302-258X
SP  - 296
EP  - 312
DB  - TRDizin
UR  - http://search/yayin/detay/401336
ER  -