Is Bitcoin Resilient for Indian Investors? The E-GARCH Analysis

Author(s)	Anjali Yadav, Akhilesh Kumar
Country	India
Abstract	This paper explores the financial asset capabilities and hedge alternative properties of Bitcoin by investigating several aspects of its volatility in relation to Nifty50 and Indian exchange rates (USD/INR & EUR/INR). This study delves into the volatility dynamics of the returns of Bitcoin. An asymmetric GARCH model (E-GARCH) is used to examine whether Bitcoin may play crucial role in risk management and ideal for risk-averse investors in anticipation of leverage effect. This paper also examines Bitcoin as an investment and hedge alternative to Nifty50 and exchange rates. The findings suggest that Bitcoin does not attributes the properties of safe hedge and an investment alternative by Indian investors
Keywords	Bitcoin, E-GARCH, Exchange Rate, Nifty50, Hedge
Field	Mathematics > Economy / Commerce
Published In	Volume 5, Issue 4, July-August 2023
Published On	2023-08-15
Cite This	Is Bitcoin Resilient for Indian Investors? The E-GARCH Analysis - Anjali Yadav, Akhilesh Kumar - IJFMR Volume 5, Issue 4, July-August 2023. DOI 10.36948/ijfmr.2023.v05i04.5445
DOI	https://doi.org/10.36948/ijfmr.2023.v05i04.5445
Short DOI	https://doi.org/gsmnnc

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