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Return, volatility and shock spillovers of Bitcoin with energy and technology companies

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  • Symitsi, Efthymia
  • Chalvatzis, Konstantinos J.

Abstract

We employ an asymmetric multivariate VAR-GARCH model to study spillover effects between Bitcoin and energy and technology companies. We find unilateral return and volatility spillovers and bidirectional shock influences and demonstrate portfolio management implications of dynamic conditional correlations.

Suggested Citation

  • Symitsi, Efthymia & Chalvatzis, Konstantinos J., 2018. "Return, volatility and shock spillovers of Bitcoin with energy and technology companies," Economics Letters, Elsevier, vol. 170(C), pages 127-130.
    • Handle: RePEc:eee:ecolet:v:170:y:2018:i:c:p:127-130
    DOI: 10.1016/j.econlet.2018.06.012
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    References listed on IDEAS

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    1. Katsiampa, Paraskevi, 2017. "Volatility estimation for Bitcoin: A comparison of GARCH models," Economics Letters, Elsevier, vol. 158(C), pages 3-6.
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    6. Ciaian, Pavel & Rajcaniova, Miroslava & Kancs, d'Artis, 2018. "Virtual relationships: Short- and long-run evidence from BitCoin and altcoin markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 52(C), pages 173-195.
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    8. Balcilar, Mehmet & Bouri, Elie & Gupta, Rangan & Roubaud, David, 2017. "Can volume predict Bitcoin returns and volatility? A quantiles-based approach," Economic Modelling, Elsevier, vol. 64(C), pages 74-81.
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    More about this item

    Keywords

    Bitcoin; Energy; Technology; Spillovers; Multivariate GARCH;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • G1 - Financial Economics - - General Financial Markets
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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