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Volatility spillover effects in leading cryptocurrencies: A BEKK-MGARCH analysis

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  • Katsiampa, Paraskevi
  • Corbet, Shaen
  • Lucey, Brian

Abstract

Through the application of three pair-wise bivariate BEKK models, this paper examines the conditional volatility dynamics along with interlinkages and conditional correlations between three pairs of cryptocurrencies, namely Bitcoin-Ether, Bitcoin-Litecoin, and Ether-Litecoin. While cryptocurrency price volatility is found to be dependent on its own past shocks and past volatility, we find evidence of bi-directional shock transmission effects between Bitcoin and both Ether and Litecoin, and uni-directional shock spillovers from Ether to Litecoin. Finally, we identify bi-directional volatility spillover effects between all the three pairs and provide evidence that time-varying conditional correlations exist and are mostly positive.

Suggested Citation

  • Katsiampa, Paraskevi & Corbet, Shaen & Lucey, Brian, 2019. "Volatility spillover effects in leading cryptocurrencies: A BEKK-MGARCH analysis," Finance Research Letters, Elsevier, vol. 29(C), pages 68-74.
    • Handle: RePEc:eee:finlet:v:29:y:2019:i:c:p:68-74
    DOI: 10.1016/j.frl.2019.03.009
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    More about this item

    Keywords

    Bitcoin; Ether; Litecoin; Volatility spillovers; BEKK-MGARCH;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G1 - Financial Economics - - General Financial Markets

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