Time-varying volatility spillovers among bitcoin and commodity currencies

摘要

The aim of this paper is to examine the volatilityspillover between bitcoin, gold and crude oil returns. (VAR) Model and threeMultivariate GARCH Models (CCC-GARCH, BEKK-GARCH and DCC-GARCH) estimationtechniques are applied using daily data from 1st January 2011 to August 31th,2018. Further, these estimation results are used to analyze the relationshipand the volatility spillovers among bitcoin and these commodity currencies.?The findings reveal that the bidirectional spilloveris confirmed between gold return and crude oil return. Low unidirectional spillover; from bitcoin return to gold return and from bitcoin to crude oil. We also notice that the DCC-GARCHmodel provides a better fit than the CCC-GARCH model and the BEKK-GARCH model. These findings have significant implications for both cryptocurrencythese commodity currencies allocations and portfolio management.?JEL Classification Numbers: G10; G11;G58???????? Keywords: M-GARCH model; VAR model; Gold; Crude oil; Cryptocurrency.