Research on Risk Measurement and Investment Selection of Cryptocurrencies

Kuijin Wang ()
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Kuijin Wang: Shanghai Nanyang Model Private School

A chapter in Proceedings of the 2024 2nd International Conference on Economic Management, Financial Innovation and Public Service (EMFIPS 2024), 2025, pp 281-290 from Springer

Abstract: Abstract Encrypted digital currency is a new form of currency after physical currency, which can be traded 24 h a day through online circulation without being affected by time zones and regions. Firstly, the concept and characteristics of encrypted digital currency are introduced, and the significant differences between encrypted digital currency and traditional financial assets are pointed out, especially the uncertainty in regulation and technology. This paper discusses the theoretical basis of market risk measurement, including VaR and GARCH models, and analyzes the applicability of these models in the encrypted digital currency market. Through the analysis of the high-frequency data of Bitcoin for six years, the stationarity of the return series is verified, and the EGARCH-EVT model is used to estimate the VaR value, so as to more accurately assess the market risk. The article further discusses the mean-variance portfolio model and risk-adjusted return model, such as Sharpe ratio and Sotino ratio, which provide investors with a set of scientific investment decision-making tools.

Keywords: Cryptocurrency; Digital Currency; Risk Measurement; Investment Selection (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:spr:advbcp:978-94-6463-706-9_26

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DOI: 10.2991/978-94-6463-706-9_26

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