Financial investment analyses and measurement of market risk based on cryptocurrencies

In this study, 20 cryptocurrencies are analyzed with the aim of increasing the effectiveness of financial investments based on cryptocurrencies and assisting investors to more accurately measure the market risk of cryptocurrencies. GAS, EGAS and AEGAS models, which are up-to-date models, are assumed to be estimated under the Student't distribution assumption. This study is based on daily data and it covers the period between 01.02.2018 - 01.06.2023. In the study, the ES method was chosen at 97.5% level of confidence in accordance with the BASEL IV regulations, which is an up-to-date method for assessing the market risk levels of the relevant cryptocurrencies. The study results show that the most prominent model among the 20 models within the scope of the study is the EGAS model. When the risk levels of the related cryptocurrencies are analyzed in this regard, it is seen that BTC and ETH have the lowest market risk for both short and long positions, whereas FIL has the highest market risk. It is believed that the study results will make important contributions to individual and institutional investors who wish to make investments in cryptocurrency markets regarding both investment strategies and risk management.