疫情下投机性资产收益率波动性及风险分析——以比特币为例

Volatility and Risk Analysis of Speculative Asset Return Rate under the Epidemic—Taking Bitcoin as an Example

摘要: 文章基于2015年9月1日至2021年8月31日比特币日收盘价数据，并以2020年1月23日为新冠疫情爆发时间节点，运用ARCH效应模型、GARCH模型以及APARCH模型比较分析了新冠疫情爆发前后比特币收益率的波动性及其杠杆效应。研究结果表明：疫情爆发前后，比特币收益率均存在明显的ARCH效应；同时冲击对比特币市场是一个持久性过程，但过去的波动对未来的影响在逐渐减弱；比特币市场在疫情爆发前不存在显著的杠杆效应，而在疫情爆发后存在一个正的杠杆效应。

Abstract: The article uses the data of the daily closing price of Bitcoin from September 1, 2015 to August 31, 2021, and sets January 23, 2020 as the time node for the outbreak of the COVID-19. Using the ARCH effect model, the GARCH model and the APARCH model to compare and analyze the volatility of Bitcoin’s return rate and its leverage effect before and after the outbreak of the COVID-19. The re-sults of the study showed that: before and after the outbreak, there was an obvious ARCH effect in the Bitcoin return rate; at the same time, the impact was a persistent process on the Bitcoin mar-ket, but the impact of past fluctuations on the future was gradually weakening; there is no signifi-cant leverage effect in the Bitcoin market before the outbreak, and there is a positive leverage effect after the outbreak.