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

Authors : Onur POLAT

Pages : 29-50

Doi:10.18037/ausbd.1272534

View : 19 | Download : 12

Publication Date : 2023-03-28

Article Type : Research Paper

Abstract :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 insert ignore into journalissuearticles values(TVP-VAR); approaches. Our findings propose that insert ignore into journalissuearticles values(i); the COVID-19 pandemic significantly affected the dynamic connectedness; insert ignore into journalissuearticles values(ii); the total connectedness index hits its apex around the official announcement of the pandemic; insert ignore into journalissuearticles values(iii); in line with previous studies Ethereum, Bitcoin, and Link are the largest propagators/recipients of shocks; insert ignore into journalissuearticles values(iv); the tightest volatility interdependencies are related to the short-run.
Keywords : Cryptocurrency Connectedness, TVP VAR, Connectedness Networks, Spillovers