Stavroyiannis, Stavros - In: The Journal of Risk Finance 19 (2018) 2, pp. 127-136
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...