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• W3171461985 abstract "• We construct the Bitcoin futures return series by grouping futures contracts according to time to maturity and then fit the GARCH models into the return data. Our results indicate that to effectively capture the non-normality and volatility clustering observed in the data, it is crucial to introduce a heavy-tailed distribution into the GARCH models. • In contrast to Bitcoin cash, the return volatilities of the Bitcoin futures do not increase by more in response to positive shocks than in response to negative shocks. • We then compare the VaR estimates based on the parametric methods, namely the GARCH model with the normal and the normal inverse Gaussian distributions, and the nonparametric method. Our results illustrate that although the VaR estimates based on the nonparametric method are overall accurate and even more accurate than the VaR estimates based on the GARCH-Normal model, the VaR estimates based on the GARCH-NIG model perform the best. • Overall, we conclude that the GARCH-NIG model could generate accurate VaR estimates for the Bitcoin futures return series. In this article, we investigate the quantitative risk management of Bitcoin futures by using the GARCH models. We first found that it is crucial to introduce a heavy-tailed distribution into the GARCH models to explain return volatilities of Bitcoin futures. Then, we compare the VaR estimates based on the parametric methods, namely the GARCH model with the normal distribution (GARCH-Normal) and the GARCH model with the normal inverse Gaussian distribution (GARCH-NIG), and the nonparametric method. Our results illustrate that although the VaR estimates based on the nonparametric method are overall accurate and even more accurate than the VaR estimates based on the GARCH-Normal model, the VaR estimates based on the GARCH-NIG model perform the best. Overall, we conclude that the GARCH-NIG model could generate accurate VaR estimates for the Bitcoin futures return series. In addition, we found that in contrast to Bitcoin cash, the return volatilities of the Bitcoin futures do not increase by more in response to positive shocks than in response to negative shocks." @default.
• W3171461985 created "2021-06-22" @default.
• W3171461985 creator A5023925618 @default.
• W3171461985 date "2022-03-01" @default.
• W3171461985 modified "2023-09-24" @default.
• W3171461985 title "Risk management of Bitcoin futures with GARCH models" @default.
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• W3171461985 doi "https://doi.org/10.1016/j.frl.2021.102197" @default.
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