Authors: Maria Tantoula, Konstantinos Gkillas, Manolis Tzagkarakis

Title: Heterogeneity, jumps and co-movements in transmission of volatility spillovers among cryptocurrencies

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 in a daily, weekly, and monthly forecast horizon. The importance of jumps is examined in terms of the accuracy of realized volatility prediction. Second, we examine the relevance of realized volatility jumps and covariances in the transmission of volatility spillovers among the four cryptocurrencies. We perform a comparative spillover analysis of the multivariate HAR models (MHAR) 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 a significantly higher dependency between Bitcoin and the other cryptocurrencies mostly at short frequencies.