Issue |
E3S Web Conf.
Volume 577, 2024
4th International Conference on Applied Sciences (ICAS 2024) “Multidisciplinary Research Collaboration for Environmental, Social, and Governance (ESG) Issues”
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Article Number | 02020 | |
Number of page(s) | 8 | |
Section | Social, Economies, Health, and Management Issues | |
DOI | https://doi.org/10.1051/e3sconf/202457702020 | |
Published online | 11 October 2024 |
Analysis of return and volatility spillover between oil-gold and oil-bitcoin during the covid-19 pandemic
College of Vocational Studies, IPB University, Bogor, 16151, Indonesia
* Corresponding author: astykh@apps.ipb. ac.id
This study analyzes the return and volatility spillover between oil-gold and oil-Bitcoin pairs before and after the COVID-19 pandemic using the Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity (DCC-GARCH) model. The data used in this research consists of daily returns of oil, gold, and Bitcoin from January 2018 to December 2021 to understand volatility dynamics. The data period is divided into two phases: before and after theCOVID-19 pandemic. The analysis results show no significant volatility spillover between oil andgold. The relationship between oil and Bitcoin points to volatility spillover, although not following an identical pattern. The absence of volatility spillover indicates that markets or assets are more independent of each other. This reduces the interdependence between markets, making it more challenging to predict market movements based on the behavior of other markets.
© The Authors, published by EDP Sciences, 2024
This is an Open Access article distributed under the terms of the Creative Commons Attribution License 4.0, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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