Bitcoin as hedging alternatives from gold, stocks and USD - GARCH model for risk/volatility analysis

QR Code

Bitcoin as hedging alternatives from gold, stocks and USD - GARCH model for risk/volatility analysis

There is increased interest in the capability of cryptocurrency as investment instrument, especially interest on Bitcoin which classified as “digital gold”. This paper sets out to examines the hedging performance of gold, S&P 500, Nasdaq and USD (USDX) against fluctuations in Bitcoin prices. Fur...

Full description

Bibliographic Details
Main Author:	Kua, Kim Tai
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2024
Online Access:	https://eprints.nottingham.ac.uk/76706/

Similar Items

The hedging ability of gold, silver, and bitcoin against inflation in ASEAN countries
by: Loke, Mei Ying
Published: (2021)

Forecast volatility in value of the EUR/USD
by: ZHONG, YANJI
Published: (2013)

Performance of GARCH models in forecasting stock market volatility.
by: Choo, Wei Chong, et al.
Published: (1999)

Modeling and forecasting the realized volatility of bitcoin using realized HAR-GARCH-type models with jumps and inverse leverage effect
by: Zahid, Mamoona, et al.
Published: (2022)

Enhancing stock volatility prediction with the AO-GARCH-MIDAS model
by: Liu, Ting, et al.
Published: (2024)

The volatility of the stock market and financial cycle : GARCH family models
by: Tran, Thuy Nhung
Published: (2022)

Estimating volatility of stock index returns by using symmetric Garch models
by: Islam, Mohd Aminul
Published: (2013)

Generalised Autoregressive Conditional Heteroscedasticity (Garch) Models For Stock Market Volatility
by: Choo, Wei Chong
Published: (1998)

Financial volatility and bank stock returns: an Armax-Garch-M modelling
by: Hooy, Chee Wooi, et al.
Published: (2003)

Asymmetric volatility and risk analysis of Bitcoin Crypto currency market
by: Yam, Xing Quan, et al.
Published: (2023)

Bitcoin volatility forecasting with the HAR-type models
by: Zhang, Jiawei
Published: (2019)

MODELLING AND FORECASTING VOLATILITY BY GARCH-TYPE MODELS: THE CASE OF VIETNAM STOCK EXCHANGE
by: Mai, Thi Thanh Hien
Published: (2008)

Modelling and Forecasting Volatility by GARCH models: The Empirical Evidence of China’s Stock Markets
by: Zhang, Jiahao
Published: (2019)

Forecasting Stock Market Volatility Using Wavelet Transformation Algorithm Of Garch Model
by: Audu, Buba
Published: (2017)

Volatility of the USD: Effects from economic policy uncertainty, monetary policy uncertainty and geopolitical risk
by: Thaw, Jia Yee
Published: (2023)

Determinants of Exchange Rate (USD).
by: Chen, Key Ying, et al.
Published: (2016)

Digital Gold or Worthless Bytes? An Exploration of Bitcoin Price Fluctuations and Assessment of Event Driven Volatility
by: Manning Smith, James
Published: (2015)

A study on the performance of symmetric and asymmetric GARCH models in estimating stock returns volatility
by: Islam, Mohd Aminul
Published: (2014)

Modelling and Forecasting Volatility of Stock Index Return Using GARCH Models: an Empirical Evidence of Argentina
by: Xenofontos, Andreas
Published: (2014)

Garch Models: Forecasting Volatility and Pricing Options
by: Joshi, Sahil
Published: (2010)

Modelling and Forecasting Volatility of Equity Market Indices And Gold Using Univariate GARCH Models: Evidence from Singapore
by: Kyaw Swar, Linn
Published: (2020)

Volatility forecasting with the wavelet transformation algorithm GARCH model: Evidence from African stock markets
by: Ismail, Mohd Tahir, et al.
Published: (2016)

Modelling and Forcasting Volatility by ARMA-GARCH Models and the COVID-19-A Study of the Chinese Stock Market
by: WANG, Meng
Published: (2020)

Gold as a hedge for inflation risk in Malaysia
by: Muhamad Senan, Mohamad Khair Afham
Published: (2013)

Value-at-risk for the USD/ZAR exchange rate: The variance-gamma model
by: Kemda, L., et al.
Published: (2015)

Modeling univariate volatility of stock returns using stochastic GARCH models:Evidence from 4-Asian markets
by: Islam, Mohd Aminul
Published: (2013)

Modelling the volatility of currency exchange rate using GARCH model
by: Choo, Wei Chong, et al.
Published: (2002)

Innovations in the ARIMA - GARCH Modeling in Forecasting Gold Price
by: Siti Roslindar, Yaziz, et al.
Published: (2014)

Bitcoin and stock markets: A revisit of relationship
by: Mohd Thas Thaker, Hassanudin *, et al.
Published: (2020)

The Study of Optimal Hedge Ratios and Utility Based Approach to the Crude Oil Hedging Strategies Using Multivariate GARCH
by: Lee, Mei-Ying
Published: (2012)

GARCH models and distributions comparison for nonlinear time series with volatilities
by: Nur Haizum, Abd Rahman, et al.
Published: (2023)

Garch models and distributions comparison for nonlinear time series with volatilities
by: Abdul Rahman, Nur Haizum, et al.
Published: (2023)

Factors influencing the volatility price of bitcoin / Nur Faridza Roslan
by: Roslan, Nur Faridza
Published: (2020)

The Performance of Hybrid ARIMA-GARCH Modeling in Forecasting Gold Price
by: Siti Roslindar, Yaziz, et al.
Published: (2013)

Can Bitcoin be a diversifier, hedge or safe haven tool? Evidence from US markets
by: [Jiang], [Shuying]
Published: (2020)

An Empirical Analysis of the Contagion Risk in the Stock Markets: Evidence with E-GARCH VaR Model
by: Gao, Song
Published: (2014)

A three-way analysis of the relationship between the USD value and the prices of oil and gold: a wavelet analysis
by: Alatrturi, Basheer H. M., et al.
Published: (2018)

Can cryptocurrencies act as a hedge to stock market volatility? Evidence from geopolitical risk and economic pocily uncertainty
by: Chua, Kar Hoon, et al.
Published: (2022)

Modelling volatilities of financial time series using the GARCH (1, 1) model
by: Zhou, Ze
Published: (2013)

ARIMA and symmetric GARCH-type models in forecasting Malaysia gold price
by: Siti Roslindar, Yaziz, et al.
Published: (2019)