0577571 20250526121634.920231104235959.9 IES UK IES UK 2023 28 s. E IES Working Papers 24/2023 Volatility Dynamic connectedness Asymmetric effects Cryptocurrency cav_un_auth*0457462 Šíla Jan UTIA-B Ekonometrie Department of Econometrics E E Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0312139 Kočenda Evžen UTIA-B Ekonometrie Department of Econometrics E E Department of Econometrics CZ 25 Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0293468 Kukačka Jiří UTIA-B Ekonometrie Department of Econometrics E E Department of Econometrics CZ 25 Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0256902 Krištoufek Ladislav UTIA-B Ekonometrie Department of Econometrics E E Department of Econometrics CZ 25 Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2023/E/kocenda-0577571.pdf GA23-06606S GA ČR cav_un_auth*0458718 CZ Cryptocurrencies exhibit unique statistical and dynamic properties compared to those of traditional financial assets, making the study of their volatility crucial for portfolio managers and traders. We investigate the volatility connectedness dynamics of a representative set of eight major crypto assets. Methodologically, we decompose the measured volatility into positive and negative components and employ the time-varying parameters vector autoregression (TVP-VAR) framework to show distinct dynamics associated with market booms and downturns. The results suggest that crypto connectedness reflects important events and exhibits more variable and cyclical dynamics than those of traditional financial markets. Periods of extremely high or low connectedness are clearly linked to specific events in the crypto market and macroeconomic or monetary history. Furthermore, existing asymmetry from good and bad volatility indicates that information about market downturns spills over substantially faster than news about comparable market surges. Overall, the connectedness dynamics are predominantly driven by fundamental crypto factors, while the asymmetry measure also depends on macro factors such as the VIX index and the expected inflation. AH 50000 50200 50206 2024 4 2 O 4 4o 4 20250526121626.6 4 20250526121634.9 RVO:67985556 https://hdl.handle.net/11104/0347641 S 2023 Soubory v repozitáři: 0577571.pdf 2023 IES UK IES UK