The Differences in Mean and Volatility Shock Transmission among Bitcoin, Currencies from Developed Countries, and Currencies from Emerging Countries

This paper studied the mean and volatility transmission among Bitcoin as the most prominent cryptocurrency, exchange rates from developed countries/regions, and exchange rates from emerging countries/regions. Using daily returns between January 1, 2015, and December 31, 2018, and Bivariate VAR - Diagonal VECH models. The empirical results suggest there was no mean transmission between USD/EUR and USD/BTC. However, there was a unidirectional mean shock transmission link from USD/CNH, USD/MAD, and USD/IDR to USD/BTC. The results also suggested the existence of a bidirectional cross-volatility persistence link between bitcoin and all the exchange rates, except for USD/IDR and a bidirectional cross-volatility spillover link between USD/BTC and USD/CNH. A critical implication of these results is that they will be of use to investors, speculators, risk managers, and policymakers in understanding the degree of integration in terms of volatility and return among Bitcoin, currencies from developed, and currencies from emerging countries.

An application of multivariate GARCH models in research for the interaction of world financial markets

This article presents information about taxonometric methods in classification stock-markets and selected Multivariate GARCH models. The main emphasis is placed on which market (country) influences others. Research has been geared towards three kinds of measurement: diagonal VECH models, diagonal BEKK models and Constant Conditional Correlation. The results obtained for the DBEKK model is optimal for most data-sets.