On the Relationship of Cryptocurrency Price with US Stock and Gold Price Using Copula Models
This paper examines the relationship of the leading financial assets, Bitcoin, Gold, and S&P 500 with GARCH-Dynamic Conditional Correlation (DCC), Nonlinear Asymmetric GARCH DCC (NA-DCC), Gaussian copula-based GARCH-DCC (GC-DCC), and Gaussian copula-based Nonlinear Asymmetric-DCC (GCNA-DCC). Und...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2020-10-01
|
| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/8/11/1859 |
| _version_ | 1797550030699102208 |
|---|---|
| author | Jong-Min Kim Seong-Tae Kim Sangjin Kim |
| author_facet | Jong-Min Kim Seong-Tae Kim Sangjin Kim |
| author_sort | Jong-Min Kim |
| collection | DOAJ |
| description | This paper examines the relationship of the leading financial assets, Bitcoin, Gold, and S&P 500 with GARCH-Dynamic Conditional Correlation (DCC), Nonlinear Asymmetric GARCH DCC (NA-DCC), Gaussian copula-based GARCH-DCC (GC-DCC), and Gaussian copula-based Nonlinear Asymmetric-DCC (GCNA-DCC). Under the high volatility financial situation such as the COVID-19 pandemic occurrence, there exist a computation difficulty to use the traditional DCC method to the selected cryptocurrencies. To solve this limitation, GC-DCC and GCNA-DCC are applied to investigate the time-varying relationship among Bitcoin, Gold, and S&P 500. In terms of log-likelihood, we show that GC-DCC and GCNA-DCC are better models than DCC and NA-DCC to show relationship of Bitcoin with Gold and S&P 500. We also consider the relationships among time-varying conditional correlation with Bitcoin volatility, and S&P 500 volatility by a Gaussian Copula Marginal Regression (GCMR) model. The empirical findings show that S&P 500 and Gold price are statistically significant to Bitcoin in terms of log-return and volatility. |
| first_indexed | 2024-03-10T15:23:41Z |
| format | Article |
| id | doaj.art-70cce3aa474b4c9a91a92f4348ff318b |
| institution | Directory Open Access Journal |
| issn | 2227-7390 |
| language | English |
| last_indexed | 2024-03-10T15:23:41Z |
| publishDate | 2020-10-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Mathematics |
| spelling | doaj.art-70cce3aa474b4c9a91a92f4348ff318b2023-11-20T18:17:05ZengMDPI AGMathematics2227-73902020-10-01811185910.3390/math8111859On the Relationship of Cryptocurrency Price with US Stock and Gold Price Using Copula ModelsJong-Min Kim0Seong-Tae Kim1Sangjin Kim2Statistics Discipline, University of Minnesota at Morris, Morris, MN 56267, USADepartment of Mathematics, North Carolina A&T State University, Greensboro, NC 27411, USADepartment of Management and Information Systems, Dong-A University, Busan 49236, KoreaThis paper examines the relationship of the leading financial assets, Bitcoin, Gold, and S&P 500 with GARCH-Dynamic Conditional Correlation (DCC), Nonlinear Asymmetric GARCH DCC (NA-DCC), Gaussian copula-based GARCH-DCC (GC-DCC), and Gaussian copula-based Nonlinear Asymmetric-DCC (GCNA-DCC). Under the high volatility financial situation such as the COVID-19 pandemic occurrence, there exist a computation difficulty to use the traditional DCC method to the selected cryptocurrencies. To solve this limitation, GC-DCC and GCNA-DCC are applied to investigate the time-varying relationship among Bitcoin, Gold, and S&P 500. In terms of log-likelihood, we show that GC-DCC and GCNA-DCC are better models than DCC and NA-DCC to show relationship of Bitcoin with Gold and S&P 500. We also consider the relationships among time-varying conditional correlation with Bitcoin volatility, and S&P 500 volatility by a Gaussian Copula Marginal Regression (GCMR) model. The empirical findings show that S&P 500 and Gold price are statistically significant to Bitcoin in terms of log-return and volatility.https://www.mdpi.com/2227-7390/8/11/1859cryptocurrencygoldS&P 500GARCHDCC |
| spellingShingle | Jong-Min Kim Seong-Tae Kim Sangjin Kim On the Relationship of Cryptocurrency Price with US Stock and Gold Price Using Copula Models Mathematics cryptocurrency gold S& P 500 GARCH DCC |
| title | On the Relationship of Cryptocurrency Price with US Stock and Gold Price Using Copula Models |
| title_full | On the Relationship of Cryptocurrency Price with US Stock and Gold Price Using Copula Models |
| title_fullStr | On the Relationship of Cryptocurrency Price with US Stock and Gold Price Using Copula Models |
| title_full_unstemmed | On the Relationship of Cryptocurrency Price with US Stock and Gold Price Using Copula Models |
| title_short | On the Relationship of Cryptocurrency Price with US Stock and Gold Price Using Copula Models |
| title_sort | on the relationship of cryptocurrency price with us stock and gold price using copula models |
| topic | cryptocurrency gold S& P 500 GARCH DCC |
| url | https://www.mdpi.com/2227-7390/8/11/1859 |
| work_keys_str_mv | AT jongminkim ontherelationshipofcryptocurrencypricewithusstockandgoldpriceusingcopulamodels AT seongtaekim ontherelationshipofcryptocurrencypricewithusstockandgoldpriceusingcopulamodels AT sangjinkim ontherelationshipofcryptocurrencypricewithusstockandgoldpriceusingcopulamodels |