Value-at-risk and related measures for the Bitcoin

Purpose: The purpose of this paper is to examine the value-at-risk and related measures for the Bitcoin and to compare the findings with Standard and Poor’s SP500 Index, and the gold spot price time series. Design/methodology/approach: A GJR-GARCH model has been implemented, in which the residuals follow the standardized Pearson type-IV distribution. A large variety of value-at-risk measures and backtesting criteria are implemented. Findings: Bitcoin is a highly volatile currency violating the value-at-risk measures more than the other assets. With respect to the Basel Committee on Banking Supervision Accords, a Bitcoin investor is subjected to higher capital requirements and capital allocation ratio. Practical implications: The risk of an investor holding Bitcoins is measured and quantified via the regulatory framework practices. Originality/value: This paper is the first comprehensive approach to the risk properties of Bitcoin.