This paper analyzes the relationships between volatilities of five cryptocurrencies, American indices (S&P500, Nasdaq, and VIX), oil, and gold. The results of the BEKK-GARCH model show evidence of a higher volatility spillover between cryptocurrencies and lower volatility spillover between cryptocurrencies and financial assets. The results of the DCC-GARCH model identify an important effect of the launch of Bitcoin futures. During the stability period, the overarching implications of the results are that there is a persistence of correlation between cryptocurrencies in high positive value and low dynamic conditional correlations between cryptocurrencies and financial assets. Also, we find that Bitcoin and gold are considered hedges for the US investors before the coronavirus crisis. Our results show that cryptocurrencies may offer diversification benefits for investors and are diversifiers during the stability period. At the beginning of 2020, we observe that the conditional correlation increased between cryptocurrencies, stock indexes, and oil which confirm the effect of the coronavirus contagion between them. Unlike gold, digital assets are not a safe haven for US investors during the coronavirus crisis.

本文分析了五种加密货币的波动率，美国指数（S＆P500，纳斯达克和VIX），石油和黄金之间的关系。BEKK-GARCH模型的结果表明，加密货币之间的波动性溢价较高，而加密货币和金融资产之间的波动性溢价较低。DCC-GARCH模型的结果确定了比特币期货推出的重要影响。在稳定期内，结果的总体含义是，高正值的加密货币之间存在持久的关联，而加密货币与金融资产之间的动态条件相关性较低。此外，我们发现，在冠状病毒危机之前，比特币和黄金被视为美国投资者的避险工具。我们的结果表明，加密货币可能为投资者提供多元化的好处，并且在稳定期内是多元化的。在2020年初，我们观察到加密货币，股票指数和石油之间的条件相关性增加，这证实了它们之间冠状病毒传染的影响。与黄金不同，在冠状病毒危机期间，数字资产并不是美国投资者的避风港。