Heterogeneity, Jumps and Co-Movements in Transmission of Volatility Spillovers Among Cryptocurrencies

Gkillas Konstantinos (), Tantoula Maria () and Tzagarakis Manolis ()
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Gkillas Konstantinos: Department of Management Science and Technology, 37795 University of Patras , 26334 Patras, Greece
Tantoula Maria: Department of Accounting and Finance, Hellenic Mediterranean University, Heraklion, Greece
Tzagarakis Manolis: Department of Economics, University of Patras, 26504 Rio, Greece

Studies in Nonlinear Dynamics & Econometrics, 2025, vol. 29, issue 5, 621-649

Abstract: We analyze properties identified in the price volatility of Bitcoin and some of the leading cryptocurrencies namely Litecoin, Ripple, and Ethereum. We employ Heterogeneous Autoregressive models (HAR) in both a univariate and multivariate level of analysis. First, the significance of heterogeneity and jumps is examined, considering the ability of several univariate HAR models, to predict realized volatility of cryptocurrencies. Second, we examine the relevance of realized volatility jumps and covariances in the transmission of volatility spillovers among cryptocurrencies. We perform a comparative spillover analysis of the multivariate HAR models in two versions, considering variances only and covariances as well. Our results indicate that covariances and jumps inclusion lead to an increase in spillovers. The time-varying spillover analysis indicates higher dependency between Bitcoin and the other cryptocurrencies mostly at short frequencies.

Keywords: spillovers; spillover index; HAR; jumps; bitcoin; cryptocurrencies (search for similar items in EconPapers)
JEL-codes: C14 C22 C53 G1 (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1515/snde-2023-0088

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