Anessa Custovic is a third-year graduate student in Economics. Her specialty is econometrics – the study of empirical methods in economics – and she has had a busy summer. Her research paper “Long- and Short-Term Cryptocurrency Volatility Components: A GARCH-MIDAS Analysis” was published in the Journal of Risk and Financial Management.
She has two co-authors on her research paper: Christian Conrad of the University of Heidelberg and Eric Ghysels, Edward Bernstein Distinguished Professor of Economics at UNC.
Bitcoin is a good example of a cryptocurrency: it is a financial asset used for transactions that was created not by a governmental agency but rather by a private consortium. From the perspective of the policy-maker or investor, Bitcoin is an asset with both tremendous potential for value gains and great volatility in price swings. If its volatility can be shown to be systematic and forecastable, then Bitcoin becomes a stronger candidate as an alternative to governmental currencies. Anessa and her co-authors find that Bitcoin volatility is linked to global economic and financial activity. These global measures can be used to construct improved forecasts of long-term Bitcoin volatility. As Professor Ghysels said, “Anessa is creative in finding data, sometimes proxies, to test various specifications of the empirical model. She is quite entrepreneurial and skillful at it. She even got into data on crime and corruption – as it is often claimed that part of the demand for Bitcoin is driven by illicit financial activity. Anessa is an integral part of this research project.”
Anessa will have many opportunities to extend this research agenda. Professor Ghysels is the campus director for the University Blockchain Research Initiative (UBRI). UBRI is sponsoring workshops and seminars on campus on the values of cryptocurrency use and blockchain technology.
Anessa has also been the teaching assistant for our innovative Credential in Quantitative Financial Economics (QFE). Professor Michael Aguilar is the director (see the associated article), but Anessa has been deeply involved in all facets of the course. This summer she took the next step: she taught the course “Introduction to Financial Economics” as the primary instructor. She is reprising that role as primary instructor this semester. Professor Aguilar is very complimentary of her contribution to the sequence of courses: As he puts it: “Anessa is remarkable. Although technically my graduate TA, she is truly my partner in this educational sequence. We plan together, teach together, and advise students together. I wouldn’t be able to run QFE without her.”
Well done, Anessa!