| When the financial market is extremely turbulent in 2020,the price of bitcoin hit a record high,with an increase more than threefold,which has far exceeded the return of traditional financial assets.The high return and volatility of bitcoin make it become the focus.Research on the volatility spillover effect of Bitcoin and traditional financial assets can not only enhance the understanding of the bitcoin market,but also provide some valuable information for portfolio investment and risk management.This paper uses a multivariate BEKK-GARCH model under t-distribution to investigate the volatility spillover effect between Bitcoin and five financial assets(stocks,gold,energy,US dollar,and bonds)from 2013 to 2020.The time-varying correlation coefficients explore the correlation between bitcoin and financial assets in different time periods.Then we select the key events in the sample period which may affect bitcoin and financial market fluctuations,and use the volatility impulse response function to describe the impact of historical shocks on the conditional variance and covariance.Furthermore,we add an asymmetric term to the BEKK-GARCH model to capture the leverage effect in the volatility spillover process.This model also improves our research conclusions.The empirical results show that only gold has a unidirectional volatility spillover effect on bitcoin,which is particularly significant under the asymmetric multivariate GARCH model.The volatility spillover from bitcoin to gold is not obvious,but it shows a leverage effect.The positive and negative shocks from bitcoin have an asymmetric effect on the volatility of gold.In general,the volatility of each asset is mainly affected by its own past.Bitcoin is mainly a risk receiver in the volatility spillover process.In addition,the correlation between bitcoin and financial assets has time-varying characteristics.During periods of violent fluctuations,the correlation between bitcoin and related financial assets will increase.Under different historical shocks,the results of the volatility impulse response are also different.The differences are manifested in the amplitude,direction,speed,duration of the impulse response,etc. |
