Volatility Spillover Effects in Leading Cryptocurrencies: A BEKK-MGARCH Analysis

12 Pages Posted: 3 Sep 2018

See all articles by Paraskevi Katsiampa

Paraskevi Katsiampa

Sheffield University Management School

Shaen Corbet

Dublin City University ; University of Waikato - Management School

Brian M. Lucey

Trinity Business School, Trinity College Dublin; Ho Chi Minh City University of Economics and Finance; Jiangxi University of Finance and Economics

Date Written: August 16, 2018

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 and 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 Litecoin to Ether. Finally, we identify bi-directional volatility spillover effects between all the three pairs provide evidence that time-varying conditional correlations exist and are mostly positive.

Keywords: Bitcoin; Ether; Litecoin; Volatility Spillovers; BEKK-MGARCH

JEL Classification: C5; C32; G1

Suggested Citation

Katsiampa, Paraskevi and Corbet, Shaen and Lucey, Brian M., Volatility Spillover Effects in Leading Cryptocurrencies: A BEKK-MGARCH Analysis (August 16, 2018). Available at SSRN: https://ssrn.com/abstract=3232912 or http://dx.doi.org/10.2139/ssrn.3232912

Paraskevi Katsiampa

Sheffield University Management School ( email )

17 Mappin Street
Sheffield, Sheffield S1 4DT
United Kingdom

Shaen Corbet (Contact Author)

Dublin City University ( email )

Dublin 9
Ireland

University of Waikato - Management School ( email )

Hamilton
New Zealand

Brian M. Lucey

Trinity Business School, Trinity College Dublin ( email )

The Sutherland Centre, Level 6, Arts Building
Dublin 2
Ireland
+353 1 608 1552 (Phone)
+353 1 679 9503 (Fax)

Ho Chi Minh City University of Economics and Finance ( email )

59C Nguyen D├Čnh Chieu
6th Ward, District 3
Ho Chi Minh City, Ho Chi Minh 70000
Vietnam

Jiangxi University of Finance and Economics ( email )

South Lushan Road
Nanchang, Jiangxi 330013
China

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