The Accuracy of Risk Measurement Models on Bitcoin Market during COVID-19 Pandemic
Since late 2019, during one of the largest pandemics in history, COVID-19, global economic recession has continued. Therefore, investors seek an alternative investment that generates profits during this financially risky situation. Cryptocurrency, such as Bitcoin, has become a new currency tool for...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2021-12-01
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| Series: | Risks |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-9091/9/12/222 |
| _version_ | 1797500884809154560 |
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| author | Danai Likitratcharoen Nopadon Kronprasert Karawan Wiwattanalamphong Chakrin Pinmanee |
| author_facet | Danai Likitratcharoen Nopadon Kronprasert Karawan Wiwattanalamphong Chakrin Pinmanee |
| author_sort | Danai Likitratcharoen |
| collection | DOAJ |
| description | Since late 2019, during one of the largest pandemics in history, COVID-19, global economic recession has continued. Therefore, investors seek an alternative investment that generates profits during this financially risky situation. Cryptocurrency, such as Bitcoin, has become a new currency tool for speculators and investors, and it is expected to be used in future exchanges. Therefore, this paper uses a Value at Risk (VaR) model to measure the risk of investment in Bitcoin. In this paper, we showed the results of the predicted daily loss of investment by using the historical simulation VaR model, the delta-normal VaR model, and the Monte Carlo simulation VaR model with the confidence levels of 99%, 95%, and 90%. This paper displayed backtesting methods to investigate the accuracy of VaR models, which consisted of the Kupiec’s POF and the Kupiec’s TUFF statistical testing results. Finally, Christoffersen’s independence test and Christoffersen’s interval forecasts evaluation showed effectiveness in the predictions for the robustness of VaR models for each confidence level. |
| first_indexed | 2024-03-10T03:10:17Z |
| format | Article |
| id | doaj.art-11a1ea29633844c0af147ee4ee1d77b8 |
| institution | Directory Open Access Journal |
| issn | 2227-9091 |
| language | English |
| last_indexed | 2024-03-10T03:10:17Z |
| publishDate | 2021-12-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Risks |
| spelling | doaj.art-11a1ea29633844c0af147ee4ee1d77b82023-11-23T10:26:33ZengMDPI AGRisks2227-90912021-12-0191222210.3390/risks9120222The Accuracy of Risk Measurement Models on Bitcoin Market during COVID-19 PandemicDanai Likitratcharoen0Nopadon Kronprasert1Karawan Wiwattanalamphong2Chakrin Pinmanee3Faculty of Business Administration, Chiang Mai University, Chiang Mai 50200, ThailandExcellence Center in Infrastructure Technology and Transportation Engineering (ExCITE), Chiang Mai University, Chiang Mai 50200, ThailandFaculty of Business Administration, Chiang Mai University, Chiang Mai 50200, ThailandFaculty of Business Administration, Chiang Mai University, Chiang Mai 50200, ThailandSince late 2019, during one of the largest pandemics in history, COVID-19, global economic recession has continued. Therefore, investors seek an alternative investment that generates profits during this financially risky situation. Cryptocurrency, such as Bitcoin, has become a new currency tool for speculators and investors, and it is expected to be used in future exchanges. Therefore, this paper uses a Value at Risk (VaR) model to measure the risk of investment in Bitcoin. In this paper, we showed the results of the predicted daily loss of investment by using the historical simulation VaR model, the delta-normal VaR model, and the Monte Carlo simulation VaR model with the confidence levels of 99%, 95%, and 90%. This paper displayed backtesting methods to investigate the accuracy of VaR models, which consisted of the Kupiec’s POF and the Kupiec’s TUFF statistical testing results. Finally, Christoffersen’s independence test and Christoffersen’s interval forecasts evaluation showed effectiveness in the predictions for the robustness of VaR models for each confidence level.https://www.mdpi.com/2227-9091/9/12/222risk measuresvalue at riskCOVID-19cryptocurrencybitcoinbacktesting |
| spellingShingle | Danai Likitratcharoen Nopadon Kronprasert Karawan Wiwattanalamphong Chakrin Pinmanee The Accuracy of Risk Measurement Models on Bitcoin Market during COVID-19 Pandemic Risks risk measures value at risk COVID-19 cryptocurrency bitcoin backtesting |
| title | The Accuracy of Risk Measurement Models on Bitcoin Market during COVID-19 Pandemic |
| title_full | The Accuracy of Risk Measurement Models on Bitcoin Market during COVID-19 Pandemic |
| title_fullStr | The Accuracy of Risk Measurement Models on Bitcoin Market during COVID-19 Pandemic |
| title_full_unstemmed | The Accuracy of Risk Measurement Models on Bitcoin Market during COVID-19 Pandemic |
| title_short | The Accuracy of Risk Measurement Models on Bitcoin Market during COVID-19 Pandemic |
| title_sort | accuracy of risk measurement models on bitcoin market during covid 19 pandemic |
| topic | risk measures value at risk COVID-19 cryptocurrency bitcoin backtesting |
| url | https://www.mdpi.com/2227-9091/9/12/222 |
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