Towards Examining the Volatility of Top Market-Cap Cryptocurrencies Throughout the COVID-19 Outbreak and the Russia–Ukraine War: Empirical Evidence from GARCH-Type Models

Ştefan Gherghina and Cristina-Andreea Constantinescu
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Cristina-Andreea Constantinescu: Department of Finance, Bucharest University of Economic Studies, 6 Piata Romana, 010374 Bucharest, Romania

Risks, 2025, vol. 13, issue 3, 1-43

Abstract: The cryptocurrency market, known for its inherent volatility, has been significantly influenced by external shocks, particularly during periods of global crises such as the COVID-19 pandemic and the Russia–Ukraine war. This study investigates the volatility of the top seven cryptocurrencies by market capitalization—Bitcoin (BTC), Ethereum (ETH), Tether (USDT), Binance Coin (BNB), USD Coin (USDC), XRP, and Cardano (ADA)—from 1 January 2020 to 1 September 2024, employing a range of GARCH models (GARCH, EGARCH, TGARCH, and DCC-GARCH). This research aims to examine the persistence of leverage effects, volatility asymmetry, and the impact of past price fluctuations on future volatility, with a particular focus on how these dynamics were shaped by the pandemic and geopolitical tensions. The findings reveal that past price fluctuations had a limited impact on future volatility for most cryptocurrencies, although leverage effects became evident during market anomalies. Stablecoins (USDC and USDT) showed a distinct volatility pattern, reflecting their peg to the US Dollar, while platform-associated BNB demonstrated unique volatility characteristics. The results underscore the market’s sensitivity to price movements, highlighting the varying reactions of investor profiles across different cryptocurrencies. These insights contribute to understanding volatility transmission within the cryptocurrency market during times of crisis and offer important implications for market participants, particularly in the context of risk management strategies.

Keywords: cryptocurrency market; volatility dynamics; COVID-19 pandemic; Russia–Ukraine war impact; GARCH; EGARCH; TGARCH; DCC-GARCH; leverage effects; price asymmetry (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2025
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