Bitcoin's performance and volatility between 2017 and 2019 using Value at Risk

Heloise Soares da Silva and John Victor Machado

Quaestum, 2022, vol. 3

Abstract: This research aimed to address the performance and volatility of Bitcoin, through its risks and returns in the financial market. The years 2017 to 2019 were considered, as these were important for the growth and evolution of the asset. Data analysis was performed using the parametric and historical Value at Risk (VaR) method, which addresses the maximum potential loss for an asset, using price versus return, observing the daily performance of the digital asset and considering the factors that influenced its classification as highly volatile and increasingly evolving in the financial market. The results indicated that, in addition to being a growing asset, Bitcoin still presents several risks to investors, such as its high volatility, uncertainties surrounding the use of its technology, blockchain as a payment system, and the lack of government backing. These and other points addressed in the research still influence the investor's decision-making power, whether they are willing to take these risks and delve deeper into the knowledge of this asset that has revolutionized payment methods.

Keywords: Risk; and; Uncertainty (search for similar items in EconPapers)
Date: 2022
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