The Characteristics of Cryptocurrency Market Volatility: Empirical Study For Five Cryptocurrency

In recent years, digital innovations especially emerged depend on Blockchain technology have caused a substantial transformation in the finance sector as other sectors. Different financial assets been revealed and began to be used an investment tool along with this markets. Cryptocurrencies that structure hold important place among these assets. Dramatically increases daily transaction volume of currencies market brought different types risks. These risks raised uncertainty currencies. Moreover, because cryptocurrencies are mostly for purpose speculation, it is understand volatility movements co-movements substantially important, particularly can influence decisions.
 This study aims determine transmission between find useful answers about efficiency Daily logarithmic return series 18 January 2018 – 14 February 2021 were analyze five most common cryptocurrencies, namely Bitcoin (BTC), Ethereum (ETH), Litecoin (LTC), Ripple (XRP), IOTA by applying RALS-ADF test, EGARCH, DCC-GARCH models. We determined whether efficient or not, tested existence asymmetric effect market. According our results, shocks not obtained persistent only BTC. Furthermore, presence effects leverage valid four cryptocurrencies. While observed BTC, no has during period. also analyzed nine pair-wise model we found dynamic conditional correlation coefficients statistically significant positive each pair.