International Journal of Nonlinear Analysis and Applications
Evaluation of the association between cryptocurrencies with oil and gold prices using the BEKK multivariate GARCH model
Document Type : Research Paper
Authors
1 Department of Humanities, Shahr-e-Qods Branch, Islamic Azad University, Tehran, Iran
2 Department of Accounting, Shahr-e-Qods Branch, Islamic Azad University, Tehran, Iran
3 Department of Accounting, Payame Noor University, Tehran, Iran
Abstract
Due to the emergence of cryptocurrencies in the world, many people save their capital and assets like cryptocurrencies. Cryptocurrencies are associated with prices of gold and oil, and stock market indices. On this basis, the present study aimed to evaluate the association between cryptocurrencies with oil and gold prices. To this end, the study performed an evaluation using the BEKK multivariate GARCH method. Therefore, two regression models were estimated to evaluate the association between cryptocurrencies and oil and gold prices. Based on the results, the mutual relationship between cryptocurrency volatility and gold and oil prices was confirmed. In general, volatility in oil and gold prices has a positive effect on cryptocurrency volatility. Given that volatility in oil and gold prices has a positive effect on cryptocurrency volatility, and these effects will be more manifested in future periods, cryptocurrency investors are recommended to examine oil and gold prices, especially oil prices in the last 10 years, before purchasing cryptocurrencies.
Keywords
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Volume 14, Issue 1
January 2023Pages 2061-2078
- Receive Date: 15 November 2021
- Revise Date: 20 February 2022
- Accept Date: 01 March 2022