On the factors of Bitcoin’s value at risk  

作　　者：Ji Ho Kwon 

机构地区：[1]College of Business,Gachon University,1342 Seongnam‑daero,Sujeong‑gu,Seongnam‑si,Gyeonggi‑do,Republic of Korea

出　　处：《Financial Innovation》2021年第1期1855-1885,共31页金融创新（英文）

摘　　要：This study investigates the factors of Bitcoin’s tail risk,quantified by Value at Risk(VaR).Extending the conditional autoregressive VaR model proposed by Engle and Manganelli(2004),I examine 30 potential drivers of Bitcoin’s 5%and 1%VaR.For the 5%VaR,quantity variables,such as Bitcoin trading volume and monetary policy rate,were positively significant,but these effects were attenuated when new samples were added.The 5%VaR responds positively to the Internet search index and negatively to the fluctuation of returns on commodity variables and the Chinese stock market index.For the 1%VaR,variables related to the macroeconomy play a key role.The consumer sentiment index exerts a strong positive effect on the 1%VaR.I also find that the 1%VaR has positive relationships with the US economic policy uncertainty index and the fluctuation of returns on the corporate bond index.

关 键 词：Bitcoin Value at risk CAVIAR 

分 类 号：F83[经济管理—金融学]