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Volatility on the Cryptocurrency Market: A Copula-GARCH Approach

Author

Listed:
  • Kensley Blaise

    (University of East Anglia)

  • Andrea Calef

    (University College London)

  • Peter G. Moffatt

    (University of East Anglia)

Abstract

This chapter investigates dependence structures between the cryptocurrency market (Bitcoin and Ether) and macro-financial indicators—the US term spread, the VIX, and breakeven inflation—from April 2013 to May 2024 using a Copula-GARCH framework. We find no significant dependence between returns and the term spread. In contrast, extreme low VIX values coincide with high cryptocurrency volatility, revealing an upper tail dependence of 3.7–7.6% depending on the copula family. Evidence for breakeven inflation is weak and statistically insignificant. Robustness checks with sub-samples, frequency changes, and sectoral comparisons confirm these findings. Overall, cryptocurrencies appear weakly connected to traditional fundamentals, underscoring their unique dynamics compared to conventional assets.

Suggested Citation

  • Kensley Blaise & Andrea Calef & Peter G. Moffatt, 2026. "Volatility on the Cryptocurrency Market: A Copula-GARCH Approach," Springer Proceedings in Business and Economics,, Springer.
    • Handle: RePEc:spr:prbchp:978-3-032-19314-8_2
    DOI: 10.1007/978-3-032-19314-8_2
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