Volatility spillover effects in leading cryptocurrencies: A BEKK-MGARCH analysis

【Author】 Katsiampa, Paraskevi; Corbet, Shaen; Lucey, Brian

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】Through the application of three pair-wise bivariate BEKK models, this paper examines the conditional volatility dynamics along with interlinkages and conditional correlations between three pairs of cryptocurrencies, namely Bitcoin-Ether, Bitcoin-Litecoin, and Ether-Litecoin. While cryptocurrency price volatility is found to be dependent on its own past shocks and past volatility, we find evidence of bi-directional shock transmission effects between Bitcoin and both Ether and Litecoin, and uni-directional shock spillovers from Ether to Litecoin. Finally, we identify bi-directional volatility spillover effects between all the three pairs and provide evidence that time-varying conditional correlations exist and are mostly positive.

【Keywords】Bitcoin; Ether; Litecoin; Volatility spillovers; BEKK-MGARCH

【发表时间】2019 JUN

【收录时间】2022-01-02

【文献类型】

【主题类别】

--