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 … and respond well to previous shocks. As a result, financial assets have low unconditional volatility and the lowest risk …

between cryptocurrencies prices and stock indices. Surprisingly, a different picture emerges on using conditional volatility … instead of prices. Like, conditional volatility-based estimation uncovers evidence of mean reversion in univariate analysis as … expected. There is some evidence of cointegration on volatility grounds between cryptocurrencies and emerging stock market …