Modelling and forecasting risk dependence and portfolio VaR for cryptocurrencies

Jie Cheng ()
Additional contact information
Jie Cheng: Keele University

Empirical Economics, 2023, vol. 65, issue 2, No 11, 899-924

Abstract: Abstract In this paper, we investigate the co-dependence and portfolio value-at-risk of cryptocurrencies, with the Bitcoin, Ethereum, Litecoin and Ripple price series from January 2016 to December 2021, covering the crypto crash and pandemic period, using the generalized autoregressive score (GAS) model. We find evidence of strong dependence among the virtual currencies with a dynamic structure. The empirical analysis shows that the GAS model smoothly handles volatility and correlation changes, especially during more volatile periods in the markets. We perform a comprehensive comparison of out-of-sample probabilistic forecasts for a range of financial assets and backtests and the GAS model outperforms the classic DCC (dynamic conditional correlation) GARCH model and provides new insights into multivariate risk measures.

Keywords: Cryptocurrencies; Generalized autoregressive score (GAS) model; Multivariate probabilistic forecasts; Portfolio management (search for similar items in EconPapers)
JEL-codes: C53 G11 G17 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://link.springer.com/10.1007/s00181-023-02360-7 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:empeco:v:65:y:2023:i:2:d:10.1007_s00181-023-02360-7

Ordering information: This journal article can be ordered from
http://www.springer. ... rics/journal/181/PS2

DOI: 10.1007/s00181-023-02360-7

Access Statistics for this article

Empirical Economics is currently edited by Robert M. Kunst, Arthur H.O. van Soest, Bertrand Candelon, Subal C. Kumbhakar and Joakim Westerlund

More articles in Empirical Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().