Хураангуй:
The purpose of this paper is to determine whether the highly volatile asset such as Bitcoin
can become a mainstream investible financial asset class by comparing it to a veteran commodity
like gold, silver and platinum, also known as the “three precious metals”. Which are held and
used by investors to hedge risk in case of financial instabilities, whose prices fluctuate
considerably, introducing risks of their own, making the commodities suitable for comparison.
For investors an understanding of the risk characteristics is of utmost importance which is why it
is important to assess the probability of rare and extreme events when considering investing in
high volatile assets. For the risk analysis we are using extreme value theory (EVT) to statistically
model such events and compute extreme risk measures. The results have shown that Bitcoin
return distribution not only exhibits higher volatility but significantly higher Value-at-risk and
Expected shortfall than the Three precious metals. Bitcoin return distributions also displays
stronger non-normal and heavier tail characteristics.
