University of Sussex
Browse
Assessing the accuracy of exponentially weighted moving average models for Value at Risk and Expected Shortfall of crypto portfolios.pdf (6.47 MB)

Assessing the accuracy of exponentially weighted moving average models for value-at-risk and expected shortfall of crypto portfolios

Download (6.47 MB)
journal contribution
posted on 2023-06-10, 05:57 authored by Carol AlexanderCarol Alexander, Michael Dakos-Mantoudis
Market betas of bitcoin relative to a broad crypto market index vary considerably, depending on the data source and the index selected. Even greater differences are found for ether and other cryptocurrencies. An in-depth exploration of the cause of these discrepancies reveals a long-standing incorrect time-stamping of some ranking-site data, and hence also the CRIX market index. Furthermore, individual coin data from some exchanges requires adjusting for unstable prices in the ‘stablecoin’ tether. Even then, Bitfinex coin prices have de-coupled from prices on other exchanges. Is yet another Bitfinex-tether issue arising? Finally, regarding the risk analysis of coin returns, we argue that this requires highly sophisticated models. But calibrating even the simplest GARCH model is extremely difficult because they are surprisingly sensitive to the data source.

History

Publication status

  • Published

File Version

  • Published version

Journal

Quantitative Finance

ISSN

1469-7688

Publisher

Taylor & Francis

Page range

1-35

Department affiliated with

  • Accounting and Finance Publications

Full text available

  • Yes

Peer reviewed?

  • Yes

Legacy Posted Date

2023-01-13

First Open Access (FOA) Date

2023-02-22

First Compliant Deposit (FCD) Date

2023-01-12

Usage metrics

    University of Sussex (Publications)

    Categories

    No categories selected

    Licence

    Exports

    RefWorks
    BibTeX
    Ref. manager
    Endnote
    DataCite
    NLM
    DC