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 …

is an attempt to study the volatility dynamics of most traded cryptocurrencies, viz., Bitcoin, Bitcoin Cash, EOS … family models (GARCH, EGARCH, TARCH and PARCH) were applied to study the volatility dynamics. The results confirm the … presence of highly persistent volatility and asymmetry in Bitcoin, Bitcoin Cash, EOS, Ethereum, Litecoin, Stellar, Tether and …

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 …