Journal
OPERATIONS RESEARCH LETTERS
Volume 48, Issue 4, Pages 534-541Publisher
ELSEVIER
DOI: 10.1016/j.orl.2020.06.004
Keywords
Cryptocurrencies; Gram-Charlier; Median shortfall; Backtesting; GAS models; Robust GARCH
Categories
Funding
- Spanish Ministry of Economy and Competitiveness [ECO2016-75631-P]
- Castilla and Leon Government, Spain [SA049G19]
- FAPA-Uniandes, Colombia [PR.3.2016.2807]
- Bank of Santander, Spain
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This paper introduces a semi-nonparametric approach for modeling Bitcoin risk relatively to other parametric distributions and volatility models. Model performance is assessed through different backtesting techniques, including multinomial test, for three risk measures: Value-at-Risk, Expected Shortfall and Median Shortfall. Our results show that the 'large' semi-nonparametric expansion is a good alternative to measure Bitcoin risk according to recommendations of Basel Committee on Banking Supervision, but also that 99%-Median Shortfall seems to be an accurate and robust risk measure for Bitcoin. (C) 2020 Elsevier B.V. All rights reserved.
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