Analyzing the volatility behavior of Bitcoin and examining its safe haven and hedge capability for Iranian investors

Document Type : Original Article

Authors

1 Master of Financial Management, University of Tehran, Tehran, Iran.

2 Assistant prof, Department of Financial Management and Insurance, University of Tehran, Tehran, Iran.

Abstract

In recent years Bitcoin has introduced itself as an investment asset and has become an attractive asset for risky investors due to the significant growth of 420 times the market value since 2013. It''s also referred to as the new gold because of the similarities between bitcoin and gold. Therefore, we intend to first compare the volatility structure of bitcoin with Emami coin and gold ounces using APARCH and FIGARCH models. Secondly, using DCC model, we can evaluate the safe haven and hedge capability of Bitcoin compared to Emami coin and gold for TEDPIX and IFX indices. we are going to investigate the similarity of bitcoin with Emami coin and gold in terms of their volatility structure and the safe haven and hedge capability for investing in Iran. The results of this study show that the long memory property of bitcoin time series shocks is more than Emami coin and less than gold. Also, bitcoin volatilities have no leverage effect. The results of the second part of the research confirm that bitcoin has a safe haven capability for TEDPIX and IFX indices, but this feature is weaker than the Emami coin and gold. Bitcoin also has no hedge capability for these indices.

Keywords

References

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Financial Management Perspective
Volume 12, Issue 37
April 2022
Pages 9-35

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