Bitcoin and its offspring: A volatility risk approach

Walter Bazán-Palomino

Producción científica: Capítulo del libro/informe/acta de congresoCapítulo de librorevisión exhaustiva


This study examines the relationship between the return on Bitcoin and the returns on its forks (Litecoin, Bitcoin Cash, Bitcoin Gold, Bitcoin Diamond, and Bitcoin Private). I obtain volatility series and time-varying correlation coefficients (Bitcoin with each of its forks) based on both univariate and multivariate GARCH models (EWMA, DCC, and BEKK). In terms of volatility, the gains of using a multivariate volatility approach are not substantial. However, the three multivariate volatility models offer a better estimation of the time-varying correlation. This study provides evidence that the volatility of Bitcoin forks and the volatility of Bitcoin are dynamically related, and there is a transmission of volatility risk from Bitcoin forks to Bitcoin. The results suggest that Bitcoin and its forks behave as crypto-currencies during bad times and as assets during good times. Also, for most of the sample period, Bitcoin forks do not offer a hedge against Bitcoin risk.
Idioma originalInglés
Título de la publicación alojadaAdvanced studies of financial technologies and cryptocurrency markets
EditoresLukáš Pichl, Cheoljun Eom, Enrico Scalas, Taisei Kaizoji
EditorialSpringer Singapore
Número de páginas24
ISBN (versión digital)978-981-15-4498-9
ISBN (versión impresa)978-981-15-4497-2
EstadoPublicada - 1 ene. 2020

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© Springer Nature Singapore Pte Ltd. 2020.


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