ASSESSING THE ASYMMETRIC RELATIONSHIP AMONGST THE IMPLIED VOLATILITIES OF BITCOIN, PRECIOUS METALS AND CRUDE OIL: EVIDENCE FROM LINEAR AND NONLINEAR ARDL MODELS
ASSESSING THE ASYMMETRIC RELATIONSHIP AMONGST THE IMPLIED VOLATILITIES OF BITCOIN, PRECIOUS METALS AND CRUDE OIL: EVIDENCE FROM LINEAR AND NONLINEAR ARDL MODELS
Author(s): Hazgui SamahSubject(s): Economy, Financial Markets
Published by: Universitatea SPIRU HARET - Faculty of Accounting and Financial Management
Keywords: Bitcoin; Crude oil; Precious metal; Cointegration; Nonlinearity; Bounds Testing Approach;
Summary/Abstract: This work aims to analyze the cointegration and causality relationship among BTC, GOLD, SILVER, BRENT and WTI prices using the linear and nonlinear ARDL for the period from 17/07/2010 to 27/07/2018 with daily data. First of all, we apply a linear ARDL model to explore the long-run dynamics of relative prices and BTC price changes. Secondly, we employ an innovative nonlinear ARDL model proposed by Shin and al 2014 to estimate the asymmetric long and short run impacts of BTC prices. We find that Bitcoin, oil and precious metal volatilities interact in a nonlinear manner. The results of this paper have relevant implications for investors and market participants, by managing their investments and minimize their risks.
Journal: Journal of Academic Research in Economics (JARE)
- Issue Year: 10/2018
- Issue No: 3
- Page Range: 445-454
- Page Count: 10
- Language: English
- Content File-PDF