THE VOLATILITY SPILLOVER BETWEEN NFT INVESTMENT INDEX AND GLOBAL TECHNOLOGY INDEX: DCC-GARCH APPLICATION

Year 2022, , 85 - 91, 30.06.2022

Hilmi Tunahan Akkus Samet Gursoy Mesut Dogan

https://doi.org/10.17261/Pressacademia.2022.1563

Abstract

Purpose- NFT is a digital token that represents a unique, one-of-a-kind asset on the blockchain. In this respect, NFTs can be used to represent
ownership of any unique asset. In this study, the volatility spillover relationship between the NFT Investment Index and the Global Technology
Index (XTEC) is investigated.
Methodology- More than one GARCH type model has been developed that reveals the relationship between assets in financial markets. The
DCC GARCH model was preferred because it is a current model that reveals the variable correlation coefficient depending on time. The DCCGARCH method was preferred for modeling the volatility spillover in the study. Daily data covering the period 19.04.2021-22.04.2022 are
used.
Findings- - According to the findings of the study; A mutual volatility spillover has been detected between the NFT Investment Index and
XTEC. Accordingly, the 1% shock in XTEC increases the NFT Investment Index volatility by 0.24%, while the 1% shock in the NFT Investment
Index increases the XTEC volatility by approximately 1.86%. The findings show that NFT Investment Index volatility is more effective on XTEC
volatility.
Conclusion- Those who invest in NFT or technology markets and those who are considering investing should also take into account the
developments in the other market in question in terms of risk management. In addition, market regulators should take a proactive approach
by considering the impact and importance of NFT markets.

Keywords

Blockchain, crypto assets, DCC-GARCH model, Non-Fungible Token (NFT)

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