摘要
文章运用带有跳跃因素的Jump-GARCH模型和ARJI族模型对比特币收益率时间序列进行分析,考察比特币崩盘前后分样本价格波动。研究结果显示,比特币收益率波动存在跳跃行为,且跳跃行为受模型拟合优度限制具有时变性和集聚性,但非对称特征不明显;全样本比特币收益率跳跃强度可能被低估,分阶段讨论发现跳跃强度随比特币价格的上升而升高;投资者应慎重投资与比特币类似的跳跃波动风险集聚资产,监管部门也应密切关注炒币风险对我国金融市场造成的影响。
In this paper,Jump-GARCH model with jump factors and ARJI family model are used to analyze the time series of Bitcoin return rate and investigate the price fluctuations of sub-samples before and after Bitcoin crash.The results show that there is a jump behavior in Bitcoin return fluctuations,and the jump behavior is time-varying and clustering limited by the goodness of fit of the model,but the asymmetric characteristics are not obvious.The jump intensity of full sample may be underestimated,and the jump intensity increases with the rise of Bitcoin price by stage discussion.Investors should be cautious in investing in assets similar to Bitcoin with jump volatility risks.Regulators should also pay close attention to the impact of speculative currency risks on China’s financial market.
作者
周婉玲
李强
ZHOU Wanling;LI Qiang(College of Big Data Applications and Economics,Guizhou University of Finance and Economics,Guiyang,Guizhou 550025)
出处
《上海立信会计金融学院学报》
2021年第1期26-35,共10页
Journal of Shanghai Lixin University of Accounting and Finance
基金
国家社会科学基金西部项目“基于混合Copula的中国系统性金融风险测度及稳定研究”(18XTJ004)。
