Journal of Statistical and Econometric Methods

Time-varying volatility spillovers among bitcoin and commodity currencies

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  • Abstract

     

    The aim of this paper is to examine the volatility spillover between bitcoin, gold and crude oil returns. (VAR) Model and three Multivariate GARCH Models (CCC-GARCH, BEKK-GARCH and DCC-GARCH) estimation techniques are applied using daily data from 1st January 2011 to August 31th, 2018. Further, these estimation results are used to analyze the relationship and the volatility spillovers among bitcoin and these commodity currencies. The findings reveal that the bidirectional spillover is confirmed between gold return and crude oil return. Low unidirectional spillover; from bitcoin return to gold return and from bitcoin to crude oil. We also notice that the DCC-GARCH model provides a better fit than the CCC-GARCH model and the BEKK-GARCH model. These findings have significant implications for both cryptocurrency these commodity currencies allocations and portfolio management.

     

    JEL Classification Numbers: G10; G11; G58        

    Keywords: M-GARCH model; VAR model; Gold; Crude oil; Cryptocurrency.

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