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首页> 外文期刊>The North American journal of economics and finance >Volatility forecasting, downside risk, and diversification benefits of Bitcoin and oil and international commodity markets: A comparative analysis with yellow metal
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Volatility forecasting, downside risk, and diversification benefits of Bitcoin and oil and international commodity markets: A comparative analysis with yellow metal

机译：比特币和石油及国际商品市场的波动率预测，下行风险和多元化收益：与黄色金属的比较分析

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摘要

This study examines the diversification and hedging properties of Bitcoin (BTC) and gold assets for oil and S&P GSCI investors. We model and forecast the volatility performance of the pairs BTC-oil, gold-oil, BTC-S&P GSCI, and gold-GSCI using five bivariate DCC-GARCH family models, two popular forecasting measures (MSE and MAE), the Diebold and Mariano (1995) test, and different risk measures (value-at-risk, expected shortfall, semivariance, and regret) for different portfolios. We find that BTC and gold provide diversification benefits for oil and S&P GSCI. Moreover, by comparing the fitting and forecast performances of the five GARCH models, we find that the standard GARCH model is the best for the gold-oil and BTC-S&P GSCI pairs, while the HYGARCH model is the best for the BTC-oil and gold-S&P GSCI pairs regardless of the time horizon. Finally, we find strong evidence of hedging effectiveness and downside risk reductions, confirming the importance of BTC and gold in oil and S&P GSCI portfolio management.
机译：这项研究研究了石油和标普GSCI投资者的比特币（BTC）和黄金资产的多元化和对冲性质。我们使用五个双变量DCC-GARCH家族模型，两种流行的预测方法（MSE和MAE），Diebold和Mariano对BTC油，黄金油，BTC-S＆P GSCI和黄金GSCI对的波动率性能进行建模和预测（1995年）测试和针对不同投资组合的不同风险度量（风险价值，预期不足，半方差和后悔）。我们发现BTC和黄金为石油和S＆P GSCI提供了多样化的好处。此外，通过比较这五个GARCH模型的拟合和预测性能，我们发现标准GARCH模型最适合金油和BTC-S＆P GSCI对，而HYGARCH模型最适合BTC油和BTC-S＆P GSCI对。无论时间跨度，黄金-S＆P GSCI对。最后，我们发现了对冲有效性和降低下行风险的有力证据，证实了BTC和黄金在石油和标普GSCI投资组合管理中的重要性。

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