| At present,cryptocurrencies based on blockchain technology are widely concerned by the world.Firstly,this article studies the issuing principle,trading mechanism and the market development status of the existing cryptocurrencies.Secondly,this article uses EGARCH and EGARCH-EVT models to estimate the spot and futures market risks of cryptocurrencies,and comparing with the risks of the traditional markets.Thirdly Kuipiec back test is conducted on the model estimation results.And fourthly,this article uses EGARCH-EVT model to evaluate the optimal margin result of cryptocurrency futures market.Finally,this article analyzes the causes of market risk of cryptocurrency and the current regulatory situation,and then giving suggestions for dealing with the market risk of cryptocurrency.This study shows that:(1)through empirical analysis,it is found that the spot market risks of Bitcoin,Litecoin and Ether are relatively high.Although Bitcoin was issued earlier,its market risk is lower than the other ones;(2)Compared with the market risk of gold,S&P 500 index,and foreign exchange in the same period,the spot and futures market risks of cryptocurrencies are much higher than the traditional financial investment instruments.(3)EGARCH and EGARCH-EVT models can be used as effective models to evaluate the risk of crypto-currency markets,and EGARCH-EVT model has higher accuracy in prediction.(4)Investors are prone to the risk of forced closing positions under the margin level of the existing futures market.(5)At present,countries around the world have different attitudes towards cryptocurrencies.Regulators should further strengthen the education of investors in order to make more rational investments.The practical significance of this study is that,as the ciyptocurrency has attracted a large number of investors around the world due to its violent market volatility,without having the full knowledge of its market risk,blind investment is likely to cause capital losses.This paper systematically analyzes the risks of cryptocurrency spot and futures markets,and compares with the traditional financial investment tools,it can enable investors to have more comprehensive and intuitive understanding of the market risk of cryptocurrency,and provide some reference for the risk management of their investment behavior.On the other hand,this article deeply analyzes the causes of market risk of cryptocurrency and the regulatory status quo around the world,and then puts forward the regulatory suggestions,encourages investors to invest rationally,and creates the better market environment. |
