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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：比特币和石油和国际商品市场的波动性预测，下行风险和多样化效益：黄金金属对比分析

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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：本研究探讨了比特币（BTC）和石油和标准普尔GSCI投资者的金牌资产的多样化和对冲属性。我们模拟并预测使用五一双抗体DCC-GARCH家族模型，两种流行的预测措施（MSE和MAE），Diebold和Mariano的成对BTC-油，金油，BTC-S＆P GSCI和Gold-GSCI的波动性能。 （1995）测试，不同投资组合的不同风险措施（价值 - 风险，预期的短缺，半学术和后悔）。我们发现BTC和Gold为石油和标准普尔GSCI提供多样化益处。此外，通过比较五个加油模型的拟合和预测性能，我们发现标准的GARCH模型是最适合金油和BTC-S＆P GSCI对的，而HYGARCH模型是BTC-油的最佳状态无论时间的时间如何，Gold-S＆P GSCI对。最后，我们发现有关对冲有效性和下行风险减少的强有力证实，确认了BTC和Gold在石油和标准普尔GSCI产品管理中的重要性。

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