Dynamic Volatility Connectedness among Cryptocurrencies: Evidence from Time-Frequency Connectedness Networks
Anadolu Üniversitesi Sosyal Bilimler Dergisi, vol.23, no.1, pp.29-50, 2023 (TRDizin)
- Publication Type: Article / Article
- Volume: 23 Issue: 1
- Publication Date: 2023
- Doi Number: 10.18037/ausbd.1272534
- Journal Name: Anadolu Üniversitesi Sosyal Bilimler Dergisi
- Journal Indexes: TR DİZİN (ULAKBİM)
- Page Numbers: pp.29-50
- Open Archive Collection: AVESIS Open Access Collection
- Bilecik Şeyh Edebali University Affiliated: Yes
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 (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.