This study details an advanced quantitative modeling of a conditional hedge for a crypto-exposed portfolio, employing Micro E-mini Nasdaq-100 (MNQ) futures contracts as the hedging instrument. The calibration is based on a dynamic conditional beta of BTC/Nasdaq at 0.45, estimated using a multivariate DCC-GARCH(1,1) model with Markov regime switching. Key Findings:
¤ Minimum Variance Hedge…
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The construction of a conditional hedge for Bitcoin (BTC) against systemic risks from Commodity Trading Advisors (CTAs)
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Construction of a Conditional Hedge via MNQ Micro E-mini Nasdaq Short. Calibration on BTC Beta=0.45
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