Dynamic volatility spillovers among commodities, bitcoin, and emerging markets

Jesús Molina-Muñoz, Andrés Mora-Valencia and Javier Perote

Emerging Markets Review, 2025, vol. 69, issue C

Abstract: In this study, the dynamic volatility spillovers among emerging markets, Bitcoin, and commodities are analyzed using Diebold and Yilmaz's spillover framework. As a by-product, a total volatility spillover index among an emerging markets index, Bitcoin, gold, and oil prices is forecast using traditional methods, machine learning, and deep learning, providing a method for anticipating turbulent periods. The results support the importance of volatility in oil prices, uncertainty about U.S. economic policy, and the stability of the sovereign bonds market for the dynamics of volatility spillovers, validating the ability of machine and deep learning approaches to predict those spillovers.

Keywords: Volatility spillovers; Emerging markets; Commodities; Bitcoin (search for similar items in EconPapers)
JEL-codes: G01 G15 G17 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:69:y:2025:i:c:s1566014125001244

DOI: 10.1016/j.ememar.2025.101375

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