The VaR comparison of the fresh investment tool-BITCOIN with other conventional investment tools, gold, stock exchange (BIST100) and foreign currencies (EUR/USD vs TRL)
The VaR comparison of the fresh investment tool-BITCOIN with other conventional investment tools, gold, stock exchange (BIST100) and foreign currencies (EUR/USD vs TRL)

Summary/Abstract: In the finance sector, in general, a single VaR method is used for one single portfolio or for all similar portfolios and it hampers the opportunity for comparison. Such shortcoming deriving from trusting one single VaR method results in very incoherent results for the analysis as well as in untrustable transactions based upon those risk estimations. In order to overcome that, similar investments tools/portfolios should be analysedsimultaneously by different VaR methods for comparison. Considering such overcome, this study is aimed to compare the VaR (value at risk) estimation methodologies for all 5 separated portfolios (which are similar considering their liquidity and investment process) holding USD, EUR, GOLD, BIST100 Index (Istanbul Stock Exchange Index) and BITCOIN considering their daily return on TRL (Turkish Lira). For performance measurement of different methodologies listed namely as extreme value VaR (GRPD-gnadenko theorem), ewma based volatility filteredhistorical simulation, historical simulation, delta normal, and bootstrapping; the 3 backtesting procedures and the related statistics are used. The data set is chosen as the period from 02.01.2014 to 20.04.2020 when all returns are recorded daily. The results of such analyses backed with different backtests indicated the different VaR methods performance for the different portfolios. Such results support the idea that, for the similar portfolios, different VaR methodologies and different backtesting process must be applied for the best fit.

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