Dynamic Volatility Connectedness among Cryptocurrencies: Evidence from Time-Frequency Connectedness Networks

Yıl 2023, Cilt: 23 Sayı: 1, 29 - 50, 28.03.2023

Onur Polat

https://doi.org/10.18037/ausbd.1272534

Öz

This study examines the time-varying connectedness among the realized volatilities of seven major cryptocurrencies between January 2020 and May 2022. To this end, we implement the time and frequency connectedness time-varying parameter vector autoregression (TVP-VAR) approaches. Our findings propose that (i) the COVID-19 pandemic significantly affected the dynamic connectedness; (ii) the total connectedness index hits its apex around the official announcement of the pandemic; (iii) in line with previous studies Ethereum, Bitcoin, and Link are the largest propagators/recipients of shocks; (iv) the tightest volatility interdependencies are related to the short-run.

Anahtar Kelimeler

Cryptocurrency Connectedness, TVP-VAR, Connectedness Networks, Spillovers

Kaynakça

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