Vol.13, No.1, February 2024.                                                                                                                                                                               ISSN: 2217-8309

                                                                                                                                                                                                                        eISSN: 2217-8333

TEM Journal

TECHNOLOGY, EDUCATION, MANAGEMENT, INFORMATICS

Association for Information Communication Technology Education and Science

Financial Risks of Business Management of Cryptocurrency Operations

Idaver Sherifi, Olesia Lebid, Olga Goncharova, Svetlana Drobyazko, Inna Sidko

© 2024 Svetlana Drobyazko, published by UIKTEN. This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License. (CC BY-NC-ND 4.0)

Citation Information: TEM Journal. Volume 13, Issue 1, Pages 355-364, ISSN 2217-8309, DOI: 10.18421/TEM131-37, February 2024.

Received: 21 September 2023.

Revised:   28 November 2023.
Accepted: 08 January 2024.
Published: 27 February 2024.

Abstract:

Bitcoin is an asset with high risks, and a significant part of its volatility can be explained by the speculative component. Parametric variance-covariance (VaR) methods are not applicable for assessing the risks of bitcoin investment, since log returns are not distributed according to the normal law. Autoregressive risk assessment models (such as ARIMA-GARCH) for bitcoin volatility overestimate risks at times of sharp exchange rate changes and they underestimate them at times of less significant rate changes compared to historical volatility. The grid search for the smoothing parameter in the exponentially weighted moving average method is potentially interesting for modeling the risks of bitcoin investment. This makes it possible to fully take into account the autocorrelation of the bitcoin rate to the levels of previous periods and the volatility of the asset. As a conclusion, there are currently no econometric models that can explain and forecast the volatility of bitcoin in the medium and short term, considering the available factors in the market.

Keywords –Financial risk, cryptocurrencies, business management, volatility, asset.

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