Volatility Spillovers among Cryptocurrencies
نویسندگان
چکیده
The cryptocurrency market has experienced stunning growth, with value exceeding USD 1.5 trillion. We use a DCC-MGARCH model to examine the return and volatility spillovers across three distinct classes of cryptocurrencies: coins, tokens, stablecoins. Our results demonstrate that conditional correlations are time-varying, peaking during COVID-19 pandemic sell-off March 2020, both ARCH GARCH effects play an important role in determining among cryptocurrencies. find bi-directional relationship for returns long-term (GARCH) between BTC ETH, but only unidirectional short-term (ARCH) spillover effect from ETH. also ETH USDT, no influence running other direction. suggest USDT does not currently transmission markets. applications our hedging optimal portfolio construction.
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ژورنال
عنوان ژورنال: Journal of risk and financial management
سال: 2021
ISSN: ['1911-8074', '1911-8066']
DOI: https://doi.org/10.3390/jrfm14100493