Open AccessExtreme value analysis of high‐frequency cryptocurrencies
Author(s) -
Zhang Yuanyuan,
Chan Stephen,
Nadarajah Saralees
Publication year - 2019
Publication title -
high frequency
Language(s) - English
Resource type - Journals
ISSN - 2470-6981
DOI - 10.1002/hf2.10032
Subject(s) - cryptocurrency , extreme value theory , econometrics , frequency analysis , statistics , percentile , ripple , economics , value (mathematics) , mathematics , computer science , engineering , computer security , electrical engineering , voltage
Using extreme value analysis, we investigate the tail risk behavior of the high‐frequency (hourly) log returns of four most popular cryptocurrencies. The analysis is conducted on high‐frequency returns data, estimating value at risk and expected shortfall with varying thresholds. We find that Ripple is the most risky cryptocurrency exhibiting the largest potential gain or loss for both positive and negative (hourly) log returns at every percentile and threshold. Bitcoin is the least risky cryptocurrency.