{"title":"利用多变量 GARCH 和 Copula 建模探索加密货币波动性和依赖性的组合框架","authors":"","doi":"10.1016/j.physa.2024.130046","DOIUrl":null,"url":null,"abstract":"<div><p>During the last years, cryptocurrencies have been increasingly becoming a relevant subject of academic researchers and investors. This paper adopts a novel framework that combines a multivariate Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) and Copula modeling in a two-stage approach to analyze the cryptocurrency volatility dynamics. By combining the aforementioned techniques, on top of showing that price movements in one cryptocurrency can significantly influence others, the use of copulas highlight how these effects can vary across different parts of distributions and thus for different types of events with respect to their extreme nature. The interconnectedness complexity should be taken into consideration when managing risk in portfolio and constructing relevant models.</p></div>","PeriodicalId":20152,"journal":{"name":"Physica A: Statistical Mechanics and its Applications","volume":null,"pages":null},"PeriodicalIF":2.8000,"publicationDate":"2024-08-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"A combined framework to explore cryptocurrency volatility and dependence using multivariate GARCH and Copula modeling\",\"authors\":\"\",\"doi\":\"10.1016/j.physa.2024.130046\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>During the last years, cryptocurrencies have been increasingly becoming a relevant subject of academic researchers and investors. This paper adopts a novel framework that combines a multivariate Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) and Copula modeling in a two-stage approach to analyze the cryptocurrency volatility dynamics. By combining the aforementioned techniques, on top of showing that price movements in one cryptocurrency can significantly influence others, the use of copulas highlight how these effects can vary across different parts of distributions and thus for different types of events with respect to their extreme nature. The interconnectedness complexity should be taken into consideration when managing risk in portfolio and constructing relevant models.</p></div>\",\"PeriodicalId\":20152,\"journal\":{\"name\":\"Physica A: Statistical Mechanics and its Applications\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":2.8000,\"publicationDate\":\"2024-08-20\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Physica A: Statistical Mechanics and its Applications\",\"FirstCategoryId\":\"101\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S0378437124005557\",\"RegionNum\":3,\"RegionCategory\":\"物理与天体物理\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"PHYSICS, MULTIDISCIPLINARY\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Physica A: Statistical Mechanics and its Applications","FirstCategoryId":"101","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0378437124005557","RegionNum":3,"RegionCategory":"物理与天体物理","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"PHYSICS, MULTIDISCIPLINARY","Score":null,"Total":0}
A combined framework to explore cryptocurrency volatility and dependence using multivariate GARCH and Copula modeling
During the last years, cryptocurrencies have been increasingly becoming a relevant subject of academic researchers and investors. This paper adopts a novel framework that combines a multivariate Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) and Copula modeling in a two-stage approach to analyze the cryptocurrency volatility dynamics. By combining the aforementioned techniques, on top of showing that price movements in one cryptocurrency can significantly influence others, the use of copulas highlight how these effects can vary across different parts of distributions and thus for different types of events with respect to their extreme nature. The interconnectedness complexity should be taken into consideration when managing risk in portfolio and constructing relevant models.
期刊介绍:
Physica A: Statistical Mechanics and its Applications
Recognized by the European Physical Society
Physica A publishes research in the field of statistical mechanics and its applications.
Statistical mechanics sets out to explain the behaviour of macroscopic systems by studying the statistical properties of their microscopic constituents.
Applications of the techniques of statistical mechanics are widespread, and include: applications to physical systems such as solids, liquids and gases; applications to chemical and biological systems (colloids, interfaces, complex fluids, polymers and biopolymers, cell physics); and other interdisciplinary applications to for instance biological, economical and sociological systems.