Abstract
The research interval is divided into three intervals according to the date of occurrence, “China announced to shut down bitcoin exchanges” and “American Securities and Exchange Commission published the announcement of non-standardization of digital currency exchanges”. And the Generalized Pareto Distribution is used to measure the tail risk of bitcoin price fluctuation in the three intervals. It is found that the Generalized Pareto distribution can better fit the thick tail of the bitcoin yield, and the risk of price fluctuation in the three intervals presents a change of “low-high-low”.
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