Abstract

LOPEZ VILLA, Jorge Alberto  and  MOTA ARAGON, Martha Beatriz. Spillover effect and dynamic correlation between Bitcoin prices, oil, gold and stock market volatility. Anál. econ. [online]. 2022, vol.37, n.96, pp.99-117.  Epub Oct 31, 2022. ISSN 2448-6655.  https://doi.org/10.24275/uam/azc/dcsh/ae/2022v37n96/lopez.

This paper analyzes the dependence and the impact of oil (WTI) and gold (XAU) prices, in addition to stock market volatility (VIX) over Bitcoin prices (BTC) from February 2012 to September 2021 through a multivariate GARCH model type diagonal BEKK, with the intention to prove the existence of a volatility spillover between such variables. Under the grouping of three pairs (BTC-VIX, BTC-WTI y BTC-XAU), findings confirm the presence of such effect and for its current determination, certain period lagging shocks have a special relevance in the relationship BTC - XAU. On the other hand, the dynamical conditional correlation is negative between the BTC and VIX index since investors seek to hedge against risk with the purchase of other assets in the face of uncertainty in a market.

Keywords : volatility models; cryptocurrency; commodity markets.

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