Hedging cryptos with Bitcoin futures

The introduction of derivatives on Bitcoin enables investors to hedge risk exposures in cryptocurrencies. Because volatility swings and jumps cryptocurrency prices, the traditional variance-based approach obtain ratios may not be suitable for hedgers. In this work, we consider two extensions approach: first, different dependence structures are modelled by copulae, such as Gaussian, Student-t, Normal Inverse Gaussian Archimedean copulae; second, measures, value-at-risk, expected shortfall spectral measures employed find optimal ratio. Extensive out-of-sample tests using data from time period December 2017 until May 2021 give insights practice hedging various cryptos crypto indices, including Bitcoin, Ethereum, Cardano, CRIX index a number crypto-portfolios. Evidence shows that BTC futures can effectively BTC-involved indices. This promising result is consistent across copulae except Frank copula. On other hand, observe complex diverse between non-BTC-related cryptocurrencies futures. As consequence, performance mixed even some assets.