Contreras-Valdez, M.I.; Sahu, S.; Núñez-Mora, J.A.; Santillán-Salgado, R.J. Value-at-Risk Effectiveness: A High-Frequency Data Approach with Semi-Heavy Tails. Risks2024, 12, 50.
Contreras-Valdez, M.I.; Sahu, S.; Núñez-Mora, J.A.; Santillán-Salgado, R.J. Value-at-Risk Effectiveness: A High-Frequency Data Approach with Semi-Heavy Tails. Risks 2024, 12, 50.
Contreras-Valdez, M.I.; Sahu, S.; Núñez-Mora, J.A.; Santillán-Salgado, R.J. Value-at-Risk Effectiveness: A High-Frequency Data Approach with Semi-Heavy Tails. Risks2024, 12, 50.
Contreras-Valdez, M.I.; Sahu, S.; Núñez-Mora, J.A.; Santillán-Salgado, R.J. Value-at-Risk Effectiveness: A High-Frequency Data Approach with Semi-Heavy Tails. Risks 2024, 12, 50.
Abstract
In the broader landscape of cryptocurrency risk management, this study delves into the nuanced estimation of Value at Risk (VaR) for a uniformly weighted portfolio of cryptocurrencies, employing the bivariate Normal Inverse Gaussian distribution renowned for its semi-heavy tails. Utilizing high-frequency data spanning from January 1st, 2017, to October 25th, 2022, with a primary focus on Bitcoin and Ethereum, our research seeks to accentuate the resilience of VaR methodology as a paramount risk assessment tool. The essence of our investigation lies in advancing the comprehension of VaR accuracy by quantitatively comparing observed returns of both cryptocurrencies with their corresponding estimated values, with a central theme being the endorsement of the Normal Inverse Gaussian distribution as a potent model for risk measurement, particularly in the domain of high-frequency data. To bolster the statistical reliability of our results, we adopt a forward test methodology, showcasing not only a contribution to the evolution of risk assessment techniques in Finance but also underscoring the practicality of sophisticated distributional models in econometrics. Our findings not only contribute to the refinement of risk assessment methods but also highlight the applicability of such models in precisely modeling and forecasting financial risk within the dynamic realm of cryptocurrencies, epitomized by the case study of Bitcoin and Ethereum.
Keywords
VaR; High-frequency data; Normal Inverse Gaussian distribution; Bitcoin; Ethereum
Subject
Business, Economics and Management, Other
Copyright:
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
,
