Volatility Co-Movement between Bitcoin and Stablecoins: BEKK–GARCH and Copula–DCC–GARCH Approaches
This paper aims to investigate and measure Bitcoin and the five largest stablecoin market volatilities by incorporating various range-based volatility estimators to the BEKK- GARCH and Copula-DCC-GARCH models. Specifically, we further measure Bitcoins’ volatility related to five major stablecoins an...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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MDPI AG
2022-05-01
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| Series: | Axioms |
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| Online Access: | https://www.mdpi.com/2075-1680/11/6/259 |
| _version_ | 1827662427216412672 |
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| author | Kuo-Shing Chen Shen-Ho Chang |
| author_facet | Kuo-Shing Chen Shen-Ho Chang |
| author_sort | Kuo-Shing Chen |
| collection | DOAJ |
| description | This paper aims to investigate and measure Bitcoin and the five largest stablecoin market volatilities by incorporating various range-based volatility estimators to the BEKK- GARCH and Copula-DCC-GARCH models. Specifically, we further measure Bitcoins’ volatility related to five major stablecoins and examine the connectedness between Bitcoin and the stablecoins. Our empirical findings document that the connectedness between Bitcoin and stablecoin market volatility behaviors exhibits the presence of stable interconnection. This study is of particular importance since it is crucial for market participation in the ongoing crypto assets to be informed about both the volatility patterns of major cryptocurrencies and the relative volatility of Bitcoin against the stablecoin markets. Eventually, we find that there is no systematic evidence for the various parity deviations of the stablecoins that are profoundly impacted by Bitcoin volatility. Thus, Bitcoin and the largest stablecoin Tether could stabilize together. However, Bitcoin shall not be generalized to other stablecoins in terms of stability results. |
| first_indexed | 2024-03-10T00:25:53Z |
| format | Article |
| id | doaj.art-a1664a175a8549838f2635603e110e57 |
| institution | Directory Open Access Journal |
| issn | 2075-1680 |
| language | English |
| last_indexed | 2024-03-10T00:25:53Z |
| publishDate | 2022-05-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Axioms |
| spelling | doaj.art-a1664a175a8549838f2635603e110e572023-11-23T15:35:03ZengMDPI AGAxioms2075-16802022-05-0111625910.3390/axioms11060259Volatility Co-Movement between Bitcoin and Stablecoins: BEKK–GARCH and Copula–DCC–GARCH ApproachesKuo-Shing Chen0Shen-Ho Chang1Department of Accounting, Ming Chuan University, 250 Zhong Shan N. Rd., Sec. 5, Taipei 111, TaiwanDepartment of Accounting, Feng Chia University, Taichung City 407102, TaiwanThis paper aims to investigate and measure Bitcoin and the five largest stablecoin market volatilities by incorporating various range-based volatility estimators to the BEKK- GARCH and Copula-DCC-GARCH models. Specifically, we further measure Bitcoins’ volatility related to five major stablecoins and examine the connectedness between Bitcoin and the stablecoins. Our empirical findings document that the connectedness between Bitcoin and stablecoin market volatility behaviors exhibits the presence of stable interconnection. This study is of particular importance since it is crucial for market participation in the ongoing crypto assets to be informed about both the volatility patterns of major cryptocurrencies and the relative volatility of Bitcoin against the stablecoin markets. Eventually, we find that there is no systematic evidence for the various parity deviations of the stablecoins that are profoundly impacted by Bitcoin volatility. Thus, Bitcoin and the largest stablecoin Tether could stabilize together. However, Bitcoin shall not be generalized to other stablecoins in terms of stability results.https://www.mdpi.com/2075-1680/11/6/259range-based volatilityCopula-DCC-GARCH modeldecentralized financeFintech |
| spellingShingle | Kuo-Shing Chen Shen-Ho Chang Volatility Co-Movement between Bitcoin and Stablecoins: BEKK–GARCH and Copula–DCC–GARCH Approaches Axioms range-based volatility Copula-DCC-GARCH model decentralized finance Fintech |
| title | Volatility Co-Movement between Bitcoin and Stablecoins: BEKK–GARCH and Copula–DCC–GARCH Approaches |
| title_full | Volatility Co-Movement between Bitcoin and Stablecoins: BEKK–GARCH and Copula–DCC–GARCH Approaches |
| title_fullStr | Volatility Co-Movement between Bitcoin and Stablecoins: BEKK–GARCH and Copula–DCC–GARCH Approaches |
| title_full_unstemmed | Volatility Co-Movement between Bitcoin and Stablecoins: BEKK–GARCH and Copula–DCC–GARCH Approaches |
| title_short | Volatility Co-Movement between Bitcoin and Stablecoins: BEKK–GARCH and Copula–DCC–GARCH Approaches |
| title_sort | volatility co movement between bitcoin and stablecoins bekk garch and copula dcc garch approaches |
| topic | range-based volatility Copula-DCC-GARCH model decentralized finance Fintech |
| url | https://www.mdpi.com/2075-1680/11/6/259 |
| work_keys_str_mv | AT kuoshingchen volatilitycomovementbetweenbitcoinandstablecoinsbekkgarchandcopuladccgarchapproaches AT shenhochang volatilitycomovementbetweenbitcoinandstablecoinsbekkgarchandcopuladccgarchapproaches |