1 - Bruno Milani Instituto Federal Farroupilha - IFFar SVS - São Vicente do Sul
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2 - Paulo Sergio Ceretta Universidade Federal de Santa Maria - UFSM - dca
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Reumo
In the last few years, we have seen the emergency of the cryptocurrencies, which started with Bitcoins. Previous studies about this subject has been concentrated mostly in three main topics: Are the cryptocurrencies real and reliable currencies? What drives the cryptocurrencies price? What are the risks to invest in cryptocurrencies? Following the third strand, the objective of this study is to analyze the risks of five cryptocurrencies: Bitcoins, Litecoins, Ethereum, Ripple and Stellar. For this purpose, we estimated a Markov-switching EGARCH followed by the estimation of Value-at-Risk and Expected-Shortfall of their returns. All cryptocurrencies presented very low Value-at-Risk and Expected Shortfall. Among other results, we found that although Bitcoins behave more stable than other cryptocurrencies, all of them presents much higher risks than the market proxy. Considering their rising prices, market capitalization and negative Expected Shortfall, it is indispensable that governments establish suitable regulations to prevent a future financial market crisis.
In the last few years, we have seen the emergency of the cryptocurrencies, which started with Bitcoins. Previous studies about this subject has been concentrated mostly in three main topics: Are the cryptocurrencies real and reliable currencies? What drives the cryptocurrencies price? What are the risks to invest in cryptocurrencies? Following the third strand, the objective of this study is to analyze the risks of five cryptocurrencies: Bitcoins, Litecoins, Ethereum, Ripple and Stellar. For this purpose, we estimated a Markov-switching EGARCH followed by the estimation of Value-at-Risk and Expected-Shortfall of their returns. All cryptocurrencies presented very low Value-at-Risk and Expected Shortfall. Among other results, we found that although Bitcoins behave more stable than other cryptocurrencies, all of them presents much higher risks than the market proxy. Considering their rising prices, market capitalization and negative Expected Shortfall, it is indispensable that governments establish suitable regulations to prevent a future financial market crisis.