文章基本信息

标题：Jump Driven Risk Model Performance in Cryptocurrency Market
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作者：Ramzi Nekhili ; Jahangir Sultan
期刊名称：International Journal of Financial Studies
印刷版ISSN：2227-7072
出版年度：2020
卷号：8
期号：19
页码：19
DOI：10.3390/ijfs8020019
语种：English
出版社：MDPI, Open Access Journal
摘要：This paper aims at identifying a validated risk model for the cryptocurrency market. We propose a stochastic volatility model with co-jumps in return and volatility (SVCJ) to highlight the role of jumps in returns and volatility in affecting Value-at-Risk (VaR) and Expected Shortfall (ES) in cryptocurrency market. Validation results based on backtesting show that SVCJ model is superior in terms of statistical accuracy of VaR and ES estimates, compared to alternative models such as TGARCH (Threshold GARCH) volatility and RiskMetrics models. The results imply that for the cryptocurrency market, the best performing model is a stochastic process that accounts for both jumps in returns and volatility.