{"title":"比特币相对于黄金和美元的波动性","authors":"Shalini Agnihotri, Vipul Goyal","doi":"10.5958/0974-1852.2017.00006.2","DOIUrl":null,"url":null,"abstract":"The present study analyses the potential of Bitcoin in Indian markets as an alternate mode of currency after the demonetisation. The study investigates the volatility and behaviour of Bitcoin as a potential for future currency vis-a-vis Dollar/INR exchange rate and gold as commodity. In the current study GARCH family models with best fit distribution for error term is used for volatility calculation. Apart from GARCH, multivariate DCC GARCH is used for correlation estimation. It is observed that Bitcoin lies somewhere in between currency and commodity. It does not respond asymmetrically to good and bad news as compared with other asset classes like USD/INR exchange rate. Hence, it holds a good potential in future for risk-averse investors and portfolio diversification. Potential of Bitcoin as currency is still ambiguous this study is an attempt to classify Bitcoin on the basis of its similarity to the asset classes in terms of its volatility behaviour.","PeriodicalId":184815,"journal":{"name":"LBS Journal of Management & Research","volume":"8 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Bitcoin Volatility vis-a-vis Gold and Dollar\",\"authors\":\"Shalini Agnihotri, Vipul Goyal\",\"doi\":\"10.5958/0974-1852.2017.00006.2\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The present study analyses the potential of Bitcoin in Indian markets as an alternate mode of currency after the demonetisation. The study investigates the volatility and behaviour of Bitcoin as a potential for future currency vis-a-vis Dollar/INR exchange rate and gold as commodity. In the current study GARCH family models with best fit distribution for error term is used for volatility calculation. Apart from GARCH, multivariate DCC GARCH is used for correlation estimation. It is observed that Bitcoin lies somewhere in between currency and commodity. It does not respond asymmetrically to good and bad news as compared with other asset classes like USD/INR exchange rate. Hence, it holds a good potential in future for risk-averse investors and portfolio diversification. Potential of Bitcoin as currency is still ambiguous this study is an attempt to classify Bitcoin on the basis of its similarity to the asset classes in terms of its volatility behaviour.\",\"PeriodicalId\":184815,\"journal\":{\"name\":\"LBS Journal of Management & Research\",\"volume\":\"8 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"1900-01-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"LBS Journal of Management & Research\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.5958/0974-1852.2017.00006.2\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"LBS Journal of Management & Research","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.5958/0974-1852.2017.00006.2","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
The present study analyses the potential of Bitcoin in Indian markets as an alternate mode of currency after the demonetisation. The study investigates the volatility and behaviour of Bitcoin as a potential for future currency vis-a-vis Dollar/INR exchange rate and gold as commodity. In the current study GARCH family models with best fit distribution for error term is used for volatility calculation. Apart from GARCH, multivariate DCC GARCH is used for correlation estimation. It is observed that Bitcoin lies somewhere in between currency and commodity. It does not respond asymmetrically to good and bad news as compared with other asset classes like USD/INR exchange rate. Hence, it holds a good potential in future for risk-averse investors and portfolio diversification. Potential of Bitcoin as currency is still ambiguous this study is an attempt to classify Bitcoin on the basis of its similarity to the asset classes in terms of its volatility behaviour.
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