Cryptocurrencies such as Bitcoin are establishing themselves as an investment asset and are often named the New Gold … variance properties of Bitcoin and Gold as well as other assets and nd differences in their structure. Secondly, we implement a … BEKK-GARCH model to estimate time-varying conditional correlations. Gold plays an important role in financial markets with …

This research examines the correlations between the return volatility of cryptocurrencies, global stock market indices …, and the spillover effects of the COVID-19 pandemic. For this purpose, we employed a two-stage multivariate volatility … exponential GARCH (EGARCH) model with an integrated dynamic conditional correlation (DCC) approach to measure the impact on the …

This paper analyzes high-frequency estimates of good and bad realized volatility of Bitcoin. We show that volatility … asymmetry depends on the volatility regime and the forecast horizon. For one-day ahead forecasts, good volatility commands a … stronger impact on future volatility than bad volatility on average and in extreme volatility regimes but not across all …

This study investigated the impact of investor sentiment impact on sectoral returns and their volatility on the … to consider the impact of market-wide investor sentiment on volatility and returns. …

Through the application of the VAR-AGARCH model to intra-day data for three cryp-tocurrencies (Bitcoin, Ethereum, and … Litecoin), this study examines the return and volatility spillover between these cryptocurrencies during the pre-COVID-19 … sample periods. We find that the return spillovers vary across the two periods for the Bitcoin-Ethereum, Bitcoin …

We examine the high-frequency return and volatility of major cryptocurrencies and reveal that spillovers among them … exist. Our analysis shows that return and volatility clustering structures are distinct among different cryptocurrencies …, suggesting that return and volatility might have different spillover patterns. Further investigation via minimal spanning trees …

ARCH-LM test shows that there is no ARCH effect in volatility of Bitcoin and Ethereum but present in Binance Coin. The … cryptocurrencies, namely; Bitcoin, Ethereum and Binance Coin. The data utilized in the study was extracted from the higher market … Generalised Autoregressive conditional heteroscedasticity (GARCH) type models with several distributions were fitted to the three …