Portfolio value-at-risk with two-sided Weibull distribution: Evidence from cryptocurrency markets

Baykar Silahli, Kemal Dincer Dingec, Atilla Cifter and Nezir Aydin

Finance Research Letters, 2021, vol. 38, issue C

Abstract: This paper extends the univariate two-sided Weibull distribution to a multivariate case for portfolio-value-at-risk estimation. This method allows to capture the stylized facts of the time series of cryptocurrencies, such as extreme volatility, volatility clustering, very heavy tails, and skewness. This new portfolio risk model is applied to a cryptocurrency portfolio consisting of four major coins: Bitcoin, Litecoin, Ripple, and Dash. The predictive performance of the proposed model is compared with several widely used models. We find that the portfolio value-at-risk with two-sided Weibull distribution outperforms the other models.

Keywords: Two-sided Weibull distribution; Portfolio Value-at-Risk; Volatility; Cryptocurrency markets (search for similar items in EconPapers)
JEL-codes: C52 G11 G17 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319312024

DOI: 10.1016/j.frl.2019.101425

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