Investigating the Co-Volatility Spillover Effects between Cryptocurrencies and Currencies at Different Natures of Risk Events

This paper examines and confirms the varying volatility of relationship between cryptocurrency currency markets at different time periods, such as when market encountered multiple risk events including US–China trade war, COVID-19, Russian–Ukraine war. We employ Diagonal BEKK model find that co-volatility spillover effects returns cryptocurrencies currencies, with exception Tether U.S. dollar index, evolved significantly. Furthermore, EUR have largest fluctuations. Large-cap (Bitcoin Ethereum) greater them currencies. Regarding ability to act safe-haven for we observe Bitcoin, Ethereum, served safe-havens during Bitcoin was a COVID-19. During 2022 were safe-havens. Interestingly, our findings point out provides more consistent function markets. Overall, by global comprehensive dataset, results support conjecture (and earlier studies) indicating capabilities are time-varying related status natures.