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

Author

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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)

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.

Suggested Citation

  • Gkillas Konstantinos & Tantoula Maria & Tzagarakis Manolis, 2025. "Heterogeneity, Jumps and Co-Movements in Transmission of Volatility Spillovers Among Cryptocurrencies," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 29(5), pages 621-649.
    • Handle: RePEc:bpj:sndecm:v:29:y:2025:i:5:p:621-649:n:1002
    DOI: 10.1515/snde-2023-0088
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    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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