Volatility spillovers and contagion between energy sector and financial assets during COVID-19 crisis period

In this paper, we examine the relationship between volatilities of energy index, crude oil, gas prices, and financial assets (Gold, Bitcoin, G7 stock indexes), especially during coronavirus crisis. The study tests presence regime changes in GARCH volatility dynamics indexes, Gold, (energy gas) by using Markov–Switching model. It estimates dynamic correlation spillover assets, multivariate MSGARCH models. estimation results Markov-Switching-BEKK-GARCH prove from to assets. For high regime, indicate a level indexes which proves contagion effect COVID-19. On contrary, conditional Gold prices decreased COVID-19 This paper makes an original contribution identifying indicates that is safe haven for all However, Bitcoin cannot be considered as pandemic when investing (crude oil gas).