Hedging bitcoin with other financial assets

被引：66
|
作者：
Pal, Debdatta [1 ]
Mitra, Subrata K. [2 ]
机构：
[1] Indian Inst Management Lucknow, Lucknow, Uttar Pradesh, India
[2] Indian Inst Management Raipur, Chhattisgarh, India
来源：
FINANCE RESEARCH LETTERS | 2019年 / 30卷
关键词：
Hedging; Bitcoin; GARCH; WORLD FOOD-PRICES; CRUDE-OIL; INEFFICIENCY; VOLATILITY; GARCH; RETURNS;
D O I：
10.1016/j.frl.2019.03.034
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We compute optimal hedge ratios between bitcoin and other financial assets by using conditional volatility estimates of different GARCH models for a period over January 03, 2011 to February 19, 2018. Gold is found to provide a better hedge against bitcoin. Following generalized orthogonal GARCH, which offers maximum hedging effectiveness, U.S.$1 long of bitcoin could to be hedged with 70 cents short of gold. Our findings are fairly robust to alternate specifications.
引用
收藏
页码：30 / 36
页数：7
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