Cryptocurrency returns and volatility spillover during an era of uncertainty: COVID-19 and VIX

This study investigates the volatility of cryptocurrencies during the uncertainty created by COVID-19 and the Chicago Board Options Exchange Volatility Index (VIX). Hence, the relationship between cryptocurrencies in the pre- and post-COVID-19 era was introduced into a mean equation that applied the VAR (1)-BEKK GARCH-M (1,1) method to the eight largest market volume cryptocurrencies. Descriptive statistics show the Dogecoin has the most volatility, BNB has the highest return, and BTC has the lowest volatility. Due to the lag in its return during the pre-COVID-19 time frame, BTC harms other coins? returns. Other coins? returns, including their own, are increased by the Dogecoin?s one-period lagged return. Notably, only BNB, XLM, and XRP were statistically significantly impacted by VIX spikes. This study highlights the fact that cryptocurrencies experience first-instance (average) volatility. Bitcoin?s long-term uncertainties statistically significantly and favorably enhance other cryptocurrencies? long-term uncertainties.