摘要
比特币发展已有十年之久,莱特币虽起步较晚,但其发展不可小觑,这使得研究两者价格波动特征及其风险溢出效应显得尤为重要。基于2017年5月1日至2019年7月11日的日收盘价,建立GARCH类模型及VaR和CoVaR模型研究比特币和莱特币的日收益率序列。结果发现,比特币和莱特币的波动具有明显的协同趋势,它们均为高风险高回报的金融资产。此外,在样本考察期内并未发现其杠杆效应,且莱特币较比特币表现出更高的风险水平和风险溢出强度。
Bitcoin has been developing for ten years.Although Litecoin started late,its development can not be underestimated,which makes it particularly important to study the characteristics of price fluctuation and risk spillover effects of litecoin and Litecoin.Based on the daily closing price of solstice on May 1,2017 and July 11,2019,establishes GARCH model and VaR and CoVaR model to study the daily return sequence of Bitcoin and Litecoin.The results show that the fluctuations of Bitcoin and Litecoin have an obvious synergistic trend,and they are both high-risk and high-return financial assets.In addition,no leverage effect was found during the sample study period,and Litecoin showed higher risk level and risk spillover intensity than Bitcoin.
作者
周婉玲
李强
董耀武
ZHOU Wan-ling;LI Qiang;DONG Yao-wu(College of Big Data Applications and Economics,Guizhou University of Finance and Economics,Guiyang 550025,China;Guizhou Province Big Data Statistical Analysis Key Laboratory,Guiyang 550025,China;Finance College,Guizhou Business School,Guiyang 550014,China)
出处
《科技和产业》
2021年第2期136-140,共5页
Science Technology and Industry
基金
国家社会科学基金项目(18XTJ004)。
