Analysis of return and volatility spillover between oil-gold and oil-bitcoin during the covid-19 pandemic

Abstract

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.