SPILL-OVER IN MEAN AND VOLATILITY FROM BITCOIN TO OTHER CRYPTO-CURRENCIES
Abstract
Worldwide interest in cryptocurrencies has grown significantly. Understanding the nature of cryptocurrency volatility is becoming increasingly important. Therefore, the current study aimed to examine the spillover in mean and volatility from Bitcoin (BTC) to other cryptocurrencies. Seven cryptocurrencies for the time period (2017-2023) were used in the study and they were chosen based on market capitalization. The ARMA (1,1) GARCH (1,1)-M model was utilized to measure the spillover in volatility and mean from BTC to other cryptocurrencies. According to the findings, there exists mean spillover from BTC to other digital currencies except one, that is, Tether. However, spillover in volatility exists from BTC to other cryptocurrencies. The study
provided guidance to investors, portfolio managers, and policymakers to allocate assets and
diversify their risks.
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Copyright (c) 2025 Dr Adnan Bashir, Muhammad Mansoor Javed, Maryam Javed
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