Portfolio modeling with cryptocurrency return

Cryptocurrencies, which started with transactions in spot markets, are now subject to futures transactions and are traded on exchanges as investment funds (ETF). The high price volatility in cryptocurrencies has attracted the interest of investors, and the cryptocurrency market has received significant investments. Therefore, calculating the volatility of cryptocurrencies, making price predictions, and investigating their place in portfolios has gained importance. The study consists of three parts. In the first part, selected cryptocurrencies with staking returns (rewards for holding cryptocurrencies locked) were analyzed. The return and volatility spillover of these cryptocurrencies were calculated. Hedging ratios for each cryptocurrency were calculated, and dual optimal portfolios were formed. In the second part, the return and volatility spillover were calculated using Bitcoin, Ripple, and Litecoin. The hedging ratios and dual optimal portfolios for the selected three cryptocurrencies were analyzed. In the third part, the volatility relationship between Bitcoin and Bitcoin mining companies was examined. Hedging ratios between Bitcoin, MARA, and RIOT were calculated, and the weights of dual portfolios were determined.