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

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