Abstract This study investigates how twelve cryptocurrencies with large capitalization get influenced by the three cryptocurrencies with the largest market capitalization (Bitcoin, Ethereum, and Ripple). Twenty alternative specifications of ARCH, GARCH as well as DCC-GARCH are employed. Daily data covers the period from 1 January 1 2018 to 16 September 2018, representing the intense bearish cryptocurrency market. Empirical outcomes reveal that volatility among digital currencies is not best described by the same specification but varies according to the currency. It is evident that most cryptocurrencies have a positive relationship with Bitcoin, Ethereum and Ripple, therefore, there is no great possibility of hedging for crypto-currency portfolio managers and investors in distressed times.

中文翻译：

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熊市中高资本化加密货币影响的GARCH建模

摘要这项研究调查了十二种具有大市值的加密货币如何受到市值最大的三种加密货币（比特币，以太坊和瑞波）的影响。使用了ARCH，GARCH和DCC-GARCH的20个替代规范。每日数据涵盖了2018年1月1日至2018年9月16日期间，代表着看跌的加密货币市场。实验结果表明，数字货币之间的波动性不能用相同的规范来最好地描述，但会因货币而异。显然，大多数加密货币与比特币，以太坊和瑞波币都有正相关关系，因此，在困境中没有很大的可能性对冲加密货币投资组合经理和投资者。