Bitcoin as an Investment and Hedge Alternative. A DCC MGARCH Model Analysis

Karl Oton Rudolf, Samer Ajour El Zein and Nicola Jackman Lansdowne
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Karl Oton Rudolf: Research Center, Geneva Business School, Rue de, La Voie-Creuse 16, 1202 Genève, Switzerland
Samer Ajour El Zein: Economics and Finance Department, EAE Business School, Calle d’Aragó, 55, 08015 Barcelona, Spain
Nicola Jackman Lansdowne: Research Center, Geneva Business School, Rue de, La Voie-Creuse 16, 1202 Genève, Switzerland

Risks, 2021, vol. 9, issue 9, 1-22

Abstract: Volatility and investor sentiment have been factors for the slow adoption rate of Bitcoin (BTC) that was first recognized in 2008 as a potential store of value, investment vehicle and a hedge alternative to gold during a recession. The purpose of this applied mathematics study will use a multivariate DCC GARCH model. Bitcoin holds its ground in volatility. This study examines Bitcoin as an investment and hedge alternative to gold as well as the major stock index. To perform the research to explore the viability of Bitcoin as an investment and hedge alternative to gold, the authors conducted a DCC GARCH model analysis. The findings of this research paper confirm Bitcoin’s cyclical performance between volatility and adoption. The findings give a strong ground for Bitcoin as the new digital currency, store of value, medium of exchange, and a unit of account and incentivize further research by theorists, scholars and examiners. The significance of this applied mathematics research and analysis will allow an unstoppable, incorruptible, and uncontrollable store of value, and investment vehicle, without governmental or institutional intervention. This study contributes by comparing and contrasting volatility stability based on the return levels of each Bitcoin on major indexes traded with BTC (based on fiat currencies) and gold.

Keywords: DCC MGARCH; bitcoin; blockchain; cryptocurrency; risks (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:gam:jrisks:v:9:y:2021:i:9:p:154-:d:622085

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