RiskMetrics method for estimating Value at Risk to compare the riskiness of BitCoin and Rand

In this study, the RiskMetrics method is used to estimate Value at Risk for two exchange rates: BitCoin/dollar and South African Rand/dollar. compare riskiness of currencies. This help Africans investors understand risk they are taking by converting their savings/investments BitCoin instead currency, Rand. The Maximum Likelihood Estimation parameters models. Seven statistical error distributions, namely Normal Distribution, skewed Student’s T-Distribution, Generalized Error Hyperbolic Distributions, were considered when modelling estimating model parameters. estimates suggest that return averaging 0.035 0.055 per dollar invested 95% 99%, respectively, riskier than Rand/dollar 0.012 0.019 respectively. Using Kupiec test, with Distribution (p > 0.07) 0.62) gave best fitting in estimation Rand/dollar, approach seems perform better higher lower confidence levels, as evidenced p-values from backtesting using test 99% levels significance. These findings also helpful managers adequate risk-based capital requirements