稳定币在加密货币市场波动中的避险角色研究——基于DCC-GARCH动态模型  

Research on the Hedging Role of Stablecoins in Cryptocurrency Market Volatility——Based on the DCC-GARCH Dynamic Model

作　　者：陈珠明[1] 张翔宇 CHEN Zhu-ming;ZHANG Xiang-yu

机构地区：[1]中山大学管理学院,广州510275

出　　处：《现代金融研究》2024年第10期59-69,共11页Journal of modern finance

基　　金：国家自然科学基金面上项目(72172164);广东省基础与应用基础研究基金面上项目(2021A1515011354)的资助。

摘　　要：本文评估了全类别稳定币在加密货币市场中作为安全阀的有效性。通过经GARCH-selection优化的DCC-GARCH模型,揭示了稳定币与传统加密货币间的动态依赖结构,并借助机器学习方法验证了此改进模型的表现。结果显示:(1)优化的DCC-GARCH模型更适用于加密市场动态分析;(2)市场中不存在全能稳定币,投资者需根据市场变动策略性使用不同类型的稳定币;(3)与法币挂钩的稳定币表现更为均衡;(4)与非法币挂钩的稳定币在极端市场条件下展现出独特的避险价值。This paper evaluates the effectiveness of various types of stablecoins as safety valves in the cryptocurrency market.By utilizing a GARCH-selection optimized DCC-GARCH model,the paper uncovers the dynamic dependency structure between stablecoins and traditional cryptocurrencies,and the performance of this improved model was validated using machine learning methods.The results indicate that:(1)The optimized DCC-GARCH model is more suitable for analyzing the dynamic behavior of the cryptocurrency market;(2)There is no“one-size-fits-all”stablecoin,and investors need to strategically deploy different types of stablecoins in response to market fluctuations;(3)Fiat-backed stablecoins exhibit a more balanced performance;(4)Non-fiat-backed stablecoins demonstrate unique hedging value under extreme market conditions.

关 键 词：稳定币 加密货币 机器学习 极端市场 DCC-GARCH模型 

分 类 号：TP181[自动化与计算机技术—控制理论与控制工程] F49[自动化与计算机技术—控制科学与工程] F821[经济管理—产业经济]