Cryptocurrency returns and volatility spillover during an era of uncertainty: COVID-19 and VIX

This study investigates the volatility of cryptocurrencies during the uncertainty created by COVID-19 and the Chicago Board Options Exchange Volatility Index (VIX). Hence, the relationship between cryptocurrencies in the pre- and post-COVID-19 era was introduced into a mean equation that applied the VAR (1)-BEKK GARCH-M (1,1) method to the eight largest market volume cryptocurrencies. Descriptive statistics show the Dogecoin has the most volatility, BNB has the highest return, and BTC has the lowest volatility. Due to the lag in its return during the pre-COVID-19 time frame, BTC harms other coins? returns. Other coins? returns, including their own, are increased by the Dogecoin?s one-period lagged return. Notably, only BNB, XLM, and XRP were statistically significantly impacted by VIX spikes. This study highlights the fact that cryptocurrencies experience first-instance (average) volatility. Bitcoin?s long-term uncertainties statistically significantly and favorably enhance other cryptocurrencies? long-term uncertainties.

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Publication Details

Journal
Panoeconomicus
Published
2025-01-01
DOI
https://doi.org/10.2298/pan230915001b
Primary Topic
Market Dynamics and Volatility
Type
article
Field-Weighted Citation Impact
0.00
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article

Cryptocurrency returns and volatility spillover during an era of uncertainty: COVID-19 and VIX

Gürkan Bozma, Murat Serçemeli, Ali Kemal Çeli̇k
Panoeconomicus
Market Dynamics and Volatility
article

Cryptocurrency returns and volatility spillover during an era of uncertainty: COVID-19 and VIX

Gürkan Bozma, Murat Serçemeli, Ali Kemal Çeli̇k
article en

Abstract

This study investigates the volatility of cryptocurrencies during the uncertainty created by COVID-19 and the Chicago Board Options Exchange Volatility Index (VIX). Hence, the relationship between cryptocurrencies in the pre- and post-COVID-19 era was introduced into a mean equation that applied the VAR (1)-BEKK GARCH-M (1,1) method to the eight largest market volume cryptocurrencies. Descriptive statistics show the Dogecoin has the most volatility, BNB has the highest return, and BTC has the lowest volatility. Due to the lag in its return during the pre-COVID-19 time frame, BTC harms other coins? returns. Other coins? returns, including their own, are increased by the Dogecoin?s one-period lagged return. Notably, only BNB, XLM, and XRP were statistically significantly impacted by VIX spikes. This study highlights the fact that cryptocurrencies experience first-instance (average) volatility. Bitcoin?s long-term uncertainties statistically significantly and favorably enhance other cryptocurrencies? long-term uncertainties.

Panoeconomicus(00)
Ardahan University (TR), Giresun University (TR), Iğdır Üniversitesi (TR)
Openalex Percentile: Top 99%
Market Dynamics and Volatility
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