Assessing the impact of the COVID-19 pandemic and the Russian–Ukrainian war on cryptocurrency volatility

Purpose This paper aims to investigate the impact of the COVID-19 pandemic and the Russian−Ukrainian war on the volatility of several cryptocurrencies. Design/methodology/approach To do this, the study uses the GJR-GARCH and dynamic conditional correlation (DCC)-GJR-GARCH models, which allow the author to estimate the conditional variance of the cryptocurrencies’ returns and assess their dependence structure over time. Findings The results show that the health crisis had a negative impact on all cryptocurrencies studied, except for Bitcoin, which experienced a positive impact. Additionally, the study finds that the Russian-Ukrainian war had a mixed impact on the cryptocurrencies studied, with some experiencing positive impacts (BNB, Dogecoin, Ethereum and Tether) and others experiencing negative impacts (Bitcoin, BUSD, Coin and XRP). Moreover, the author analyzes the spillover effects among the cryptocurrencies and observe significant interdependence during the periods under study. Originality/value Finally, the study discusses the implications of the findings for investors, policymakers and regulators, highlighting the importance of considering external factors when making investment decisions or designing regulatory frameworks for the cryptocurrency market.