Now showing 1 - 2 of 2
  • Publication
    Bitcoin, Gold and the Dollar – a GARCH Volatility Analysis
    (University College Dublin. School of Economics, 2015-09-12)
    This paper explores the financial asset capabilities of bitcoin using GARCH models. The initial model showed several similarities to gold and the dollar indicating hedging capabilities and advantages as a medium of exchange. The asymmetric GARCH showed that bitcoin may be useful in risk management and ideal for risk averse investors in anticipation of negative shocks to the market. Overall bitcoin has a place on the financial markets and in portfolio management as it can be classified as something in between gold and the American dollar on a scale from pure medium of exchange advantages to pure store of value advantages.
  • Publication
    Hedging Capabilities of Bitcoin. Is it the virtual gold?
    (University College Dublin. School of Economics, 2015-10-07)
    This paper sets out to explore the hedging capabilities of bitcoin by applying the asymmetric GARCH methodology used in investigation of gold. The results show that bitcoin can clearly be used as a hedge against stocks in the Financial Times Stock Exchange Index. Additionally bitcoin can be used as a hedge against the American dollar in the short-term. Bitcoin thereby possess some of the same hedging abilities as gold and can be included in the variety of tools available to market analysts to hedge market specific risk.