 On the factors of Bitcoin’s value at riskJi Ho Kwon ()
Financial Innovation, 2021, vol. 7, issue 1, 1-31 Abstract: Abstract This study investigates the factors of Bitcoin’s tail risk, quantified by Value at Risk (VaR). Extending the conditional autoregressive VaR model proposed by Engle and Manganelli (2004), I examine 30 potential drivers of Bitcoin’s 5% and 1% VaR. For the 5% VaR, quantity variables, such as Bitcoin trading volume and monetary policy rate, were positively significant, but these effects were attenuated when new samples were added. The 5% VaR responds positively to the Internet search index and negatively to the fluctuation of returns on commodity variables and the Chinese stock market index. For the 1% VaR, variables related to the macroeconomy play a key role. The consumer sentiment index exerts a strong positive effect on the 1% VaR. I also find that the 1% VaR has positive relationships with the US economic policy uncertainty index and the fluctuation of returns on the corporate bond index. Keywords: Bitcoin; Value at risk; CAViaR (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00297-3 Ordering information: This journal article can be ordered from DOI: 10.1186/s40854-021-00297-3 Access Statistics for this article Financial Innovation is currently edited by J. Leon Zhao and Zongyi More articles in Financial Innovation from Springer, Southwestern University of Finance and Economics |
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