Persistence and Volatility Spillovers of Bitcoin price to Gold and Silver prices

Yaya, OlaOluwa A and Lukman, Adewale F. and Vo, Xuan Vinh (2022): Persistence and Volatility Spillovers of Bitcoin price to Gold and Silver prices. Forthcoming in: Resources Policy

Abstract

The paper investigated persistence, returns and volatility spill overs from the Bitcoin market to Gold and Silver markets using daily datasets from 2 January 2018 to 31 July 2020. We applied the fractional persistence framework to the price series, returns and volatility proxy series. The results showed that price persistence with Bitcoin posed the highest volatility, while Silver posed the lowest volatility. The results of multivariate GARCH modelling, using the CCC-VARMA-GARCH model and other lower variants indicated the impossibility of returns spill over between Bitcoin and Gold (or Silver) market, while there existed volatility spill overs and these were bi-directional in form of shocks and volatility transmissions. Appropriate portfolio management and hedging strategies rendered towards the end of the paper required more gold and silver investments in the portfolio of Bitcoin to fully have the diversification advantage and reduce risk to the minimum without reducing the portfolio return expectancy.

• Item Type: MPRA Paper
• Language: English
• Keywords: Bitcoin; Commodity markets; CCC-VARMA-GARCH model; Volatility spill overs; Portfolio management
• Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes

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