Systematic risk in cryptocurrency market: Evidence from DCC-MGARCH model

By N. P. Canh, Udomsak Wongchoti, S. D. Thanh, Nguyen Trung Thong. Finance Research Letters, 2019

112 citations recorded by the source corpus.

Abstract This study provides a formal analysis on the structural breaks and volatility spillovers in seven largest cryptocurrencies including Bitcoin, Litecoin, Ripple, Stellar, Monero, Dash, and Bytecoin. Cumulative sum test for parameter stability, Granger Causality test, LM test for ARCH and Dynamic conditional correlation MGARCH model indicate that: (1) the structural breaks are universally present in these popular cryptocurrencies; and (2) the shifts spread from smaller cryptocurrencies (in market capitalization) to larger ones. Notably, volatility spillovers also exist with strong positive correlations among cryptocurrencies. Our findings highlight the limit of diversification benefits within the cryptocurrency market itself.

Subfields: Economics and Econometrics, Information Systems

View Paper: https://www.semanticscholar.org/paper/16d3a0aeab0bd3301dcd05850bcadfdc2832ac4e