EGARCH Model: Volatility Spillover Analysis of Bitcoin Price on Altcoin and S&P 500 Index

  • Melawati Universitas Teknologi Yogyakarta
  • Tri Gunarsih Universitas Teknologi Yogyakarta
Keywords: EGARCH, Altcoin, Bitcoin, S&P 500 Index, Volatility

Abstract

This study aims to analyze the effect of Bitcoin price spillover volatility on Altcoin prices (Ethereum, Tether, Binance Coin) and the price of the S&P 500 Index. The data used is weekly data with a research period from January 2018 to December 2022. The analysis used in this study is the Exponential Generalized Autoregressive Conditional Heteroscedasticity (EGARCH) model. The results show a volatility spillover effect between Bitcoin and Binance Coin with more positive shocks than adverse shocks in Bitcoin price volatility on Binance Coin price. Meanwhile, the spillover volatility between Bitcoin and Ethereum, Tether, and the S&P 500 Index cannot be known because the price data is homoscedastic, so it cannot be continued with EGARCH modelling because the data needs to meet the modelling requirements.

Submitted
2023-08-28
Accepted
2023-11-30