Cryptocurrencies as Safe Haven Assets

Abstract

The growing presence of institutional capital in crypto asset markets has reopened the debate on whether Bitcoin and similar digital assets can act as safe havens, the way gold or sovereign bonds have been built historically. This thesis tackles that question with a quantitative framework rather than the qualitative arguments that dominated the early literature. The dataset covers November 2019 to May 2026 (2,380 daily observations for Bitcoin, 2,381 for the full asset universe). I fit GARCH-t and EGARCH-t models to capture conditional variance, apply Extreme Value Theory to isolate the tail directly, and run Monte Carlo simulation to estimate capital requirements over 30-day horizon.