The Volatility Spillover in Metaverse Token Market: TVP-VAR Model Application

Abstract

In this study, the volatility spillover between metaverse tokens is investigated to guide investors. In the research, price data of Decentraland, StarLink, Axie Infinity, Radio Caca, The Sandbox, Internet Computer, My Neighbor Alice and Enjin Token, for the period 12.14.2021-10.22.2023 analyzes with the time-varying parameter vector autoregressive (TVP-VAR) model developed by Antonakakis et al. (2019). As a result of the research, it determine that Radio Caca and Axie Infinity only receive volatility; My Neighbor Alice and Enjin Token only spread volatility; StarLink, Decentraland and Internet Computer are metaverse tokens that both receive and spread volatility.

Keywords

• Metaverse Token
• Volatility Spillover
• TVP-VAR

Metaverse Token Piyasasında Volatilite Yayılımı: TVP-VAR Modeli Uygulaması

Abstract

Bu çalışmada, yatırımcılara yol göstermek amacıyla metaverse tokenler arasındaki volatilite yayılımı araştırılmıştır. Araştırmada Decentraland, StarLink, Axie Infinity, Radio Caca, The Sandbox, Internet Computer, My Neighbor Alice ve Enjin Token'in 12.14.2021-10.22.2023 dönemine ait fiyat verileri Antonakakis vd. (2019) tarafından geliştirilen zamanla değişen parametreli vektör otoregresif (TVP-VAR) modeli ile analiz edilmiştir. Araştırma sonucunda Radio Caca ve Axie Infinity'nin sadece volatilite alan; My Neighbor Alice ve Enjin Token'in sadece volatilite yayan; StarLink, Decentraland ve Internet Computer'ın ise hem volatilite alan hem de volatilite yayan metaverse tokenler olduğu belirlenmiştir.

Keywords

• Metaverse Token
• Volatilite Yayılımı
• TVP-VAR

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