Research Article
Year 2020,
Volume: 12 Issue: 22, 152 - 168, 01.01.2020
Abstract
Finansal zaman serilerinde görülen değişen varyans sorununun (ARCH etkisi) sonucu olarak otoregresif koşullu değişen varyans modelleri bulunmuştur. Çalışmamızda, piyasa değeri en yüksek üç kripto paranın [Bitcoin (BTC), Ethereum (ETH) ve Ripple (XRP)] getirileri incelenmiş ve söz konusu getirilerde finansal zaman serilerine benzer şekilde ARCH etkisi bulunmuştur. Söz konusu üç kripto paranın volatiliteleri için en iyi modelin hesaplanmasında altı GARCH modelini karşılaştırılmıştır. Bu modeller sırasıyla GARCH (1,1), EGARCH (1,1), TGARCH (1,1), APARCH (1,1), CGARCH (1,1) ve ACGARCH (1,1) modellerinden oluşmaktadır. Çalışma kapsamında 01.10.2015 - 01.10.2018 tarihleri arasında Bitcoin (BTC), Ethereum (ETH) ve Ripple (XRP) kripto paralarının günlük kapanış verilerinden elde edilen getiriler kullanılmıştır. Volatilite tahminlerinde Bitcoin (BTC) ve Ethereum (ETH) için en iyi model EGARCH (1,1), Ripple (XRP) için ise APARCH (1,1) modeli bulunmuştur. Çalışma kapsamında bu modeller kullanılarak volatiliteler üzerinde negatif şokların pozitif şoklardan daha fazla etkisinin bulunduğunu gösteren kaldıraç etkisi incelenmiştir. Bitcoin (BTC) ve Ethereum (ETH) modellerinde kaldıraç etkisi bulunmamış, bununla birlikte pozitif şoklar negatif şoklara göre daha fazla volatiliteye neden olmuştur. Ancak, Ripple (XRP) volatilite modelinde kaldıraç etkisi belirlenmiştir.
References
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Year 2020,
Volume: 12 Issue: 22, 152 - 168, 01.01.2020
Abstract
References
- BAUR, Dirk G., HONG, KiHoon ve LEE, Adrian D. (2017). “Bitcoin: Medium of Exchange or Speculative Assets?”, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2561183 BOLLERSLEV, Tim. (1986). “Generalized Autoregressive Conditional Heteroskedasticity”, Journal of Econometrics, 31, 307-327. BOUOIYOUR, Jamal ve SELMI, Refk. (2015). “Bitcoin price: Is It Really That New Round of Volatility Can Be On Way?”, Munich Pers. RePEc Arch. 6558 (August). BOUOIYOUR, Jamal ve SELMI, Refk. (2016). “Bitcoin: A Beginning of A New Phase?”, Economic Bulletin, 36 (3), 1430–1440. BOURI, Elie, AZZI, Georges ve DYHRBERG, Anne Haubo. (2017). “On the Return-Volatility Relationship in The Bitcoin Market Around The Price Crash Of 2013”, Economics, 11 (2), 1–16. CARPENTER, Andrew. (2016). “Portfolio Diversification with Bitcoin”, Journal of Undergraduate in France, 1-27. CATANIA, Leopold, GRASSI, Stefano ve RAVAZZOLO, Francesco. (2018). “Predicting the Volatility of Cryptocurrency Time–Series”, Centre For Applied Macro and Petroleum Economics (CAMP), CAMP Working Paper Series, No 3/2018, 1-7. CHARLES, Amelie ve DARNE, Olivier. (2018). “Volatility Estimation for Bitcoin: Replication and Extension”, International Economics, 1-15. CHEAH, Eng-Tuck ve FRY, John. (2015). “Speculative Bubbles in Bitcoin Markets? An Empirical Investigation Into the Fundamental Value of Bitcoin”, Economics Letters, 130, 32–36. CHEUNG, Adrian, ROCA, Eduardo ve SU, Jen-Je. (2015). “Crypto-currency Bubbles: An Application of the Phillips-Shi-Yu (2013) Methodology on Mt.Gox Bitcoin Prices”, Applied Economics, 47, 2348–2358. DING, Zhuanxin, GRANGER, Clive W.J. ve ENGLE, Robert F. (1993). “A Long Memory Property Of Stock Market Returns And A New Model”, Journal of Empirical Finance, 1(1), 83-106. DWYER, Gerald P. (2015). “The Economics of Bitcoin and Similar Private Digital Currencies”, Journal of Financial Stability, 81-91. DYHRBERG, Anne Haubo. (2016). “Hedging Capabilities of Bitcoin. Is It the Virtual Gold?”, Finance Research Letters, 139-144. ENGLE, Robert F. ve LEE, Gary G. J. (1993). “A Permanent and Transitory Component Model of Stock Return Volatility”, Department of Economics, UCSD, Discussion Paper No: 92-44R. EUROPEAN CENTRAL BANK (ECB). (2012). “Virtual Currency Schemes”, http://www.ecb.int/ pub/pdf/other/virtualcurrencyschemes201210en.pdf. GLASER, Florian, ZIMMERMANN, Kai, HAFERHORN, Martin, WEBER, Moritz Christian ve SIERING, Michael. (2014). “Bitcoin - Asset or Currency? Revealing Users’ Hidden Intentions”, In: Twenty Second European Conference on Information Systems, ECIS 2014, Tel Aviv, 1–14. GRINBERG, Reuben. (2011). “Bitcoin: An Innovative Alternative Digital Currency”, Hastings Sci. Tech. LJ., 4, 160–211. GRONWALD, Marc. (2014). “The Economics of Bitcoins - Market Characteristics and Price Jumps”, CESifo Working Paper, (5121). KATSIAMPA, Paraskevi. (2017). “Volatility Estimation for Bitcoin: A Comparison of GARCH Models”, Economics Letters, 158, 3-6. NELSON, Daniel B. (1991). “Conditional Heteroskedasticity in Asset Returns: A New Approach”, Econometrica, 59, 347-370. ÖZTÜRK, Mutlu Başaran, ARSLAN, Halil, KAYHAN, Temur ve UYSAL, Mustafa. (2018). “Yeni Bir Hedge Enstrumanı Olarak Bitcoin: Bitconomi”, Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 217-232. ROGOJANU, Angela ve BADEA, Liana. (2014). “The Issue of Competing Currencies. Case Study–Bitcoin”, Theoretical Applications Economics, 103–114. TAYLOR, Stephen J. (1986). “Modelling Financial Time Series”, John Wiley and Sons Ltd., 1st edition, New York, USA. THIES, Sven ve MOLNÁR, Peter. (2018). “Bayesian Change Point Analysis of Bitcoin Returns”, Finance Research Letters, 27, 223-227. ZAKOIAN, Jean-Michel. (1994). “Threshold Heteroskedasticity Models”, Journal of Economic Dynamics and Control, 15, 931-955.
There are 1 citations in total.
Details
| Primary Language | Turkish |
|---|---|
| Journal Section | Makaleler |
| Authors | |
| Publication Date | January 1, 2020 |
| Submission Date | December 2, 2018 |
| Published in Issue | Year 2020 Volume: 12 Issue: 22 |