This paper investigates the dynamic relationship and volatility spillovers between cryptocurrency and commodity markets using different multivariate GARCH models. We take into account the nature of interaction between these markets and their transmission mechanisms when analyzing the conditional cross effects and volatility spillovers. Our results confirm the presence of significant returns and volatility spillovers, and we identify the GO-GARCH (2,2) as the best-fit model for modeling the joint dynamics of various financial assets. Our findings show significant dynamic linkages and volatility spillovers between gold, natural gas, crude oil, Bitcoin, and Ethereum prices. We find that gold can serve as a safe haven in times of economic uncertainty, as it is a good hedge against natural gas and crude oil price fluctuations. We also find evidence of bidirectional causality between crude oil and natural gas prices, suggesting that changes in one commodity's price can affect the other. Furthermore, we observe that Bitcoin and Ethereum are positively correlated with each other, but negatively correlated with gold and crude oil, indicating that these cryptocurrencies may serve as useful diversification tools for investors seeking to reduce their exposure to traditional assets. Our study provides valuable insights for investors and policymakers regarding asset allocation and risk management, and sheds light on the dynamics of financial markets.

本文使用不同的多元 GARCH 模型研究了加密货币和商品市场之间的动态关系和波动溢出效应。在分析条件交叉效应和波动溢出效应时，我们考虑了这些市场之间相互作用的性质及其传导机制。我们的结果证实了显着回报和波动溢出效应的存在，并且我们将 GO-GARCH (2,2) 确定为对各种金融资产的联合动态建模的最佳模型。我们的研究结果表明，黄金、天然气、原油、比特币和以太坊价格之间存在显着的动态联系和波动溢出效应。我们发现，在经济不确定时期，黄金可以作为避风港，因为它可以很好地对冲天然气和原油价格波动。我们还发现原油和天然气价格之间存在双向因果关系的证据，表明一种商品价格的变化会影响另一种商品。此外，我们观察到比特币和以太坊彼此呈正相关，但与黄金和原油呈负相关，这表明这些加密货币可以作为寻求减少传统资产敞口的投资者的有用多元化工具。我们的研究为投资者和政策制定者提供了有关资产配置和风险管理的宝贵见解，并阐明了金融市场的动态。我们观察到比特币和以太坊彼此呈正相关，但与黄金和原油呈负相关，这表明这些加密货币可以作为寻求减少传统资产敞口的投资者的有用多元化工具。我们的研究为投资者和政策制定者提供了有关资产配置和风险管理的宝贵见解，并阐明了金融市场的动态。我们观察到比特币和以太坊彼此呈正相关，但与黄金和原油呈负相关，这表明这些加密货币可以作为寻求减少传统资产敞口的投资者的有用多元化工具。我们的研究为投资者和政策制定者提供了有关资产配置和风险管理的宝贵见解，并阐明了金融市场的动态。