Volatility Interdependence Between Cryptocurrencies, Equity, and Bond Markets.

This paper investigates (i) the return-volatility spillover between Bitcoin, Ethereum, Ripple, and Litecoin, (ii) the interdependence between cryptocurrencies' volatility and the US equity and bond markets' volatility, and (iii) the impact of the Covid-19 outbreak on the cryptocurrencies' return-volatility. A two-step estimation approach is considered where Univariate General Autoregressive Conditional Heteroskedastic models are estimated to model the volatility of the four cryptocurrencies then a Simultaneous Equation Model is estimated to model the interconnection between the cryptocurrency volatilities, the US equity and bond markets' volatility, and Covid-19 outbreak. We show that return-volatility spillovers exist among Bitcoin, Ethereum, and Litecoin while Ripple is the main transmitter of shocks.