Investigating the dynamics of Volatility relationships in the selected cryptocurrencies

Document Type : Original Article

Authors

1 M.sc Industrial Engineering, Department of Financial Systems, Science and Research Branch, Islamic Azad University, Tehran, Iran

2 Assistant Prof., Department of Industrial Engineering, Khajeh Nasir al-Din Toosi University of Technology, Tehran, Iran.

Abstract

Analysis of Dynamic Relationships between Financial assets is important in risk management and investment portfolio strategies. Investors try to diversify their assets in different markets in order to cover risk or optimize, and in this regard, they pay attention to the interaction between markets. In this research, the analysis of dynamic conditional correlation and Spillover of  Volatility in the return of four cryptocurrencies including Bitcoin, Ethereum, Ripple and Litecoin from 16 Aug 2015 to 14 Jul 2022 has been done. The purpose of this research is to understand and identify the Volatility spillovers between the cryptocurrency market Coins and also to estimate the variable correlation over time between this category of assets with the pairwise dynamic conditional multivariate GARCH model. The results of this research show the existence of the two-way Spillovers effects among all investigated cryptocurrencies. Also, due to the fact that during the crisis, the correlation between the examined cryptocurrencies has increased significantly, evidence of the existence of asymmetric effects between the investigated cryptocurrencies can be confirmed

Keywords

References

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Financial Management Perspective
Volume 13, Issue 41
2023
Pages 37-58

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