The aim of this study is to examine the daily return spillover among 18 cryptocurrencies under low and high volatility regimes, while considering three pricing factors and the effect of the COVID-19 outbreak. To do so, we apply a Markov regime-switching (MS) vector autoregressive with exogenous variables (VARX) model to a daily dataset from 25-July-2016 to 1-April-2020. The results indicate various patterns of spillover in high and low volatility regimes, especially during the COVID-19 outbreak. The total spillover index varies with time and abruptly intensifies following the outbreak of COVID-19, especially in the high volatility regime. Notably, the network analysis reveals further evidence of much higher spillovers in the high volatility regime during the COVID-19 outbreak, which is consistent with the notion of contagion during stress periods.

中文翻译：

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加密货币的特定制度溢出效应以及 COVID-19 的作用


本研究的目的是考察 18 种加密货币在低波动性和高波动性情况下的每日回报溢出效应，同时考虑三个定价因素和 COVID-19 爆发的影响。为此，我们将带有外生变量的马尔可夫政权转换 (MS) 向量自回归 (VARX) 模型应用于 2016 年 7 月 25 日至 2020 年 4 月 1 日的每日数据集。结果表明，高波动性和低波动性情况下存在各种溢出模式，特别是在 COVID-19 爆发期间。总溢出指数随时间变化，并在 COVID-19 爆发后突然加剧，特别是在高波动性情况下。值得注意的是，网络分析揭示了新冠病毒 (COVID-19) 爆发期间高波动性状态下的溢出效应要高得多的进一步证据，这与压力时期传染的概念是一致的。