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. …